We exploit a high-stakes quasi-field setting to estimate attitudes towards both risk and strategic
ambiguity. Participants make a sequence of binary choices, either between a sure thing
and a risky alternative, or between a sure thing and an alternative that is contingent on the
unobserved strategies of rivals. Payoffs range up to 250 000 Swiss Francs. Our econometric
model allows for both stochastic choice and preference heterogeneity across contestants.
We consider several models of ambiguity attitudes. We find substantial ambiguity aversion
and moderate risk aversion; ambiguity attitudes are best captured by the Klibanoff et al.
(2005) smooth ambiguity model; and heterogeneity is important at the decision and participant
level.

JEL Classification: D89

Keywords: Risk aversion; ambiguity aversion; smooth ambiguity model; alpha-maxmin
preferences; relative entropy.

Co-authors : Nicolas de Roos

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