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Subjective ambiguity, expected utility and Choquet expected utility

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  • Jiankang Zhang

    ()
    (Department of Economics, Carleton University, 1125 Colonel By Drive, Ottawa, Ontario K1S 5B6, CANADA)

Abstract

Using the Savage set up, this paper provides a simple axiomatization of the Choquet Expected Utility model where the capacity is an inner measure. Two attractive features of the model are its specificity and the transparency of its axioms. The key axiom states that the decision-maker uses unambiguous acts to approximate ambiguous ones. In addition, the notion of `ambiguity' is subjective and derived from preferences.

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Bibliographic Info

Article provided by Springer in its journal Economic Theory.

Volume (Year): 20 (2002)
Issue (Month): 1 ()
Pages: 159-181

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Handle: RePEc:spr:joecth:v:20:y:2002:i:1:p:159-181

Note: Received: March 23, 2000; revised version: April 24, 2001
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Related research

Keywords: Ambiguity; Expected utility; Choquet expected utility; Capacity; Inner measure; $\lambda $-system.;

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Cited by:
  1. Alain Chateauneuf & Luciano De Castro, 2011. "Ambiguity Aversion and Absence of Trade," Discussion Papers 1535, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  2. Massimiliano Amarante & Emel Filiz, 2004. "Ambiguous events and Maxmin Expected Utility," Discussion Papers 0405-09, Columbia University, Department of Economics.
  3. Alain Chateauneuf & Luciano I. de Castro, 2011. "Ambiguity Aversion and Trade," Discussion Papers 1526, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  4. Sujoy Mukerji & Peter Klibanoff and Massimo Marinacci, 2011. "Definitions of Ambiguous Events and the Smooth Ambiguity Model," Economics Series Working Papers 525, University of Oxford, Department of Economics.
  5. Takao Asano, 2004. "Portfolio Inertia under Ambiguity," ISER Discussion Paper 0609, Institute of Social and Economic Research, Osaka University.
  6. Asano, Takao, 2006. "Portfolio inertia under ambiguity," Mathematical Social Sciences, Elsevier, vol. 52(3), pages 223-232, December.
  7. Ehud Lehrer, 2012. "Partially Specified Probabilities: Decisions and Games," American Economic Journal: Microeconomics, American Economic Association, vol. 4(1), pages 70-100, February.
  8. Adam Dominiak & Jean-Philippe Lefort, 2011. "Unambiguous events and dynamic Choquet preferences," Economic Theory, Springer, vol. 46(3), pages 401-425, April.
  9. Dominiak, Adam & Lefort, Jean-Philippe, 2011. "Unambiguous events and dynamic Choquet preferences," Economics Papers from University Paris Dauphine 123456789/7323, Paris Dauphine University.
  10. Yaarit Even & Ehud Lehrer, 2014. "Decomposition-integral: unifying Choquet and the concave integrals," Economic Theory, Springer, vol. 56(1), pages 33-58, May.
  11. Qu, Xiangyu, 2013. "Maxmin expected utility with additivity on unambiguous events," Journal of Mathematical Economics, Elsevier, vol. 49(3), pages 245-249.
  12. Lefort, Jean-Philippe & Dominiak, Adam, 2011. ""Agreeing to Disagree" Type Results under Ambiguity," Economics Papers from University Paris Dauphine 123456789/8575, Paris Dauphine University.
  13. Klaus Nehring, 2006. "Is it Possible to Define Subjective Probabilities in Purely Behavioral Terms? A Comment on Epstein-Zhang (2001)," Economics Working Papers 0067, Institute for Advanced Study, School of Social Science.

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