Rational Agents Reject Lotteries with Higher Payoffs, Prioritize Risk Aversion
The experiment tested a game theory concept called coarse correlated equilibrium. Subjects were asked to choose between a random lottery with higher expected payoff than the Nash equilibrium and playing the game to reach the Nash equilibrium. They preferred playing the game and coordinating on the Nash equilibrium. However, when given a choice between a lottery with equal probabilities and the Nash equilibrium payoff, they chose the lottery. This suggests that subjects prioritize risk over payoff in equilibrium.