  The 1961 Ellsberg paradox is typically seen as an empirical challenge to the
subjective expected utility framework. Experiments based on Ellsberg's design
have spawned a variety of new approaches, culminating in a new paradigm
represented by, now classical, models of ambiguity aversion. We design and
implement a decision-theoretic lab experiment that is extremely close to the
original Ellsberg design and in which, empirically, subjects make choices very
similar to those in the Ellsberg experiments. In our environment, however,
these choices cannot be rationalized by any of the classical models of
ambiguity aversion.
