%0 Documento de trabajo (Working Paper) %A Sautua, Santiago-Ignacio %I Universidad del Rosario %D 2016 %G EspaƱol (Spanish) %T Risk, ambiguity, and diversification %U http://repository.urosario.edu.co/handle/10336/12039 %X Attitudes toward risk influence the decision to diversify among uncertain options. Yet, because in most situations the options are ambiguous, attitudes toward ambiguity may also play an important role. I conduct a laboratory experiment to investigate the effect of ambiguity on the decision to diversify. I find that diversification is more prevalent and more persistent under ambiguity than under risk. Moreover, excess diversification under ambiguity is driven by participants who stick with a status quo gamble when diversification among gambles is not feasible. This behavioral pattern cannot be accommodated by major theories of choice under ambiguity.