We introduce a novel experimental framework, the two-ball Ellsberg gamble, which allows us to explore a wider range of possible drivers of ambiguity attitudes than usually considered by the literature. In an incentivized experiment on a representative sample from the US with 708 participants, we find that 55% of the subjects prefer avoiding ambiguity even when it means choosing dominated risky options - what we call the Two-Ball Ellsberg Paradox. This aversion to mere exposure to ambiguity violates the monotonicity axiom of most current ambiguity models. In a series of treatments, we establish that the primary drivers of these behaviors are an aversion to complexity generated by the presence of ambiguity. Such a complexity aversion explains about 43% of the variations in the two-ball Ellsberg and 38% of the variations in the original Ellsberg paradox. We further explore the possible different cognitive foundations underlying such a result. Participants who are more likely to display the Two-Ball Ellsberg Paradox are also more likely to perceive the setting as complex.

This Version: Mai 2025