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Least convex capacities

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Author Info

  • Larry G. Epstein

    ()
    (Department of Economics, University of Rochester, Harkness Hall, Rochester, NY 14627-0156, USA)

  • Jiankang Zhang

    ()
    (Department of Economics, University of Rochester, Harkness Hall, Rochester, NY 14627-0156, USA)

Abstract

Debreu proposed the notion of `least concave utility' as a way to disentangle risk attitudes from the certainty preferences embedded in a von-Neumann Morgenstern index. This paper studies preferences under uncertainty, as opposed to risk, and examines a corresponding decomposition of preference. The analysis is carried out within the Choquet expected utility model of preference and is centered on the notion of a least convex capacity.

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Bibliographic Info

Article provided by Springer in its journal Economic Theory.

Volume (Year): 13 (1999)
Issue (Month): 2 ()
Pages: 263-286

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Handle: RePEc:spr:joecth:v:13:y:1999:i:2:p:263-286

Note: Received: May 7, 1997; revised version: November 5, 1997
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Related research

Keywords: Uncertainty · Uncertainty aversion · Choquet expected utility · Capacity · Convex capacity · Risk aversion · Ambiguity · Non-additive probability.;

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Cited by:
  1. Kin Chung Lo, 1998. "Epistemic Conditions for Agreement and Stochastic Independence of epsilon-Contaminated Beliefs," Working Papers 1998_02, York University, Department of Economics.
  2. Nishimura, Kiyohiko G. & Ozaki, Hiroyuki, 2004. "Search and Knightian uncertainty," Journal of Economic Theory, Elsevier, vol. 119(2), pages 299-333, December.
  3. Takao Asano, 2004. "Portfolio Inertia under Ambiguity," ISER Discussion Paper 0609, Institute of Social and Economic Research, Osaka University.

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