We design and implement a novel experimental test of subjective expected
utility theory and its generalizations. Our experiments are implemented in the
laboratory with a student population and pushed out through a large-scale panel
to a general sample of the U.S.\ population. We find that a majority of
subjects' choices are consistent with the maximization of {\em some} utility
function, but not with subjective utility theory. The theory is tested by
gauging how subjects respond to price changes. A majority of subjects respond
to price changes in the direction predicted by the theory, but not to a degree
that makes them fully consistent with subjective expected utility.
Surprisingly, maxmin expected utility adds no explanatory power to subjective
expected utility.
Our findings remain the same regardless of whether we look at laboratory data
or the panel survey, even though the two subject populations are very
different. The degree of violations of subjective expected utility theory is
not affected by age nor cognitive ability, but it is correlated with financial
literacy
