On one occasion, gamblers in Las Vegas played these kinds of bets for real money, using a roulette wheel. And afterward, one of the researchers tried to explain the problem with the incoherence between their pricing and their choices. From the transcript:
Experimenter: Well, how about the bid for Bet A? Do you have any further feelings about it now that you know you are choosing one but bidding more for the other one?
Subject: It’s kind of strange, but no, I don’t have any feelings at all whatsoever really about it. It’s just one of those things. It shows my reasoning process isn’t so good, but, other than that, I… no qualms.
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E: Can I persuade you that it is an irrational pattern?
S: No, I don’t think you probably could, but you could try.
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E: Well, now let me suggest what has been called a money-pump game and try this out on you and see how you like it. If you think Bet A is worth 550 points [points were converted to dollars after the game, though not on a one-to-one basis] then you ought to be willing to give me 550 points if I give you the bet...
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E: So you have Bet A, and I say, “Oh, you’d rather have Bet B wouldn’t you?”
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S: I’m losing money.
E: I’ll buy Bet B from you. I’ll be generous; I’ll pay you more than 400 points. I’ll pay you 401 points. Are you willing to sell me Bet B for 401 points?
S: Well, certainly.
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E: I’m now ahead 149 points.
S: That’s good reasoning on my part. (laughs) How many times are we going to go through this?
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E: Well, I think I’ve pushed you as far as I know how to push you short of actually insulting you.
-Zut Allais