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E-Capacities and the Ellsberg Paradox

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  • Jürgen Eichberger

    ()

  • David Kelsey

Abstract

This paper introduces E-capacities as a representation of beliefs which incorporates objective information about the probability of events. It can be shown that the Choquet integral of an E-capacity is the Ellsberg representation. The paper further explores properties of this representation of beliefs and provides an axiomatisation for them.

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File URL: http://hdl.handle.net/10.1023/A:1004994630014
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Bibliographic Info

Article provided by Springer in its journal Theory and Decision.

Volume (Year): 46 (1999)
Issue (Month): 2 (April)
Pages: 107-138

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Handle: RePEc:kap:theord:v:46:y:1999:i:2:p:107-138

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Web page: http://www.springerlink.com/link.asp?id=100341

Related research

Keywords: Ellsberg paradox; Uncertainty aversion; Choquet integral; Non-additive probabilities;

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References

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  1. Dow, James & Werlang, Sergio Ribeiro da Costa, 1992. "Uncertainty Aversion, Risk Aversion, and the Optimal Choice of Portfolio," Econometrica, Econometric Society, vol. 60(1), pages 197-204, January.
  2. Eichberger, Jurgen & Kelsey, David, 1996. "Uncertainty Aversion and Preference for Randomisation," Journal of Economic Theory, Elsevier, vol. 71(1), pages 31-43, October.
  3. Eichberger, J. & Kelsey, D., 1996. "Free Riders Do not Like Uncertainty," Discussion Papers 96-14, Department of Economics, University of Birmingham.
  4. Dow James & Werlang Sergio Ribeiro Da Costa, 1994. "Nash Equilibrium under Knightian Uncertainty: Breaking Down Backward Induction," Journal of Economic Theory, Elsevier, vol. 64(2), pages 305-324, December.
  5. Ghirardato, Paolo, 1996. "Coping With Ignorance: Unforeseen Contingencies and Non-Additive Uncertainty," Working Papers 945, California Institute of Technology, Division of the Humanities and Social Sciences.
  6. Mark J. Machina & David Schmeidler, 1990. "A More Robust Definition of Subjective Probability," Discussion Paper Serie A 306, University of Bonn, Germany.
  7. David Schmeidler, 1989. "Subjective Probability and Expected Utility without Additivity," Levine's Working Paper Archive 7662, David K. Levine.
  8. Lo, Kin Chung, 1996. "Equilibrium in Beliefs under Uncertainty," Journal of Economic Theory, Elsevier, vol. 71(2), pages 443-484, November.
  9. Gilboa Itzhak & Schmeidler David, 1993. "Updating Ambiguous Beliefs," Journal of Economic Theory, Elsevier, vol. 59(1), pages 33-49, February.
  10. Mukerji, S., 1997. "Ambiguity aversion and incompleteness of contractual form," Discussion Paper Series In Economics And Econometrics 9715, Economics Division, School of Social Sciences, University of Southampton.
  11. Mukerji, S., 1995. "Understanding the nonadditive probability decision model," Discussion Paper Series In Economics And Econometrics 9517, Economics Division, School of Social Sciences, University of Southampton.
  12. Epstein Larry G. & Le Breton Michel, 1993. "Dynamically Consistent Beliefs Must Be Bayesian," Journal of Economic Theory, Elsevier, vol. 61(1), pages 1-22, October.
  13. Eichberger, J. & Kelsey, D., 1994. "Non-additive beliefs and game theory," Discussion Paper 1994-10, Tilburg University, Center for Economic Research.
  14. Eichberger, J. & Kelsey, D., 1993. "Uncertainty Aversion and Dynamic Consistency," Discussion Papers 93-08, Department of Economics, University of Birmingham.
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