Subjective ambiguity, expected utility and Choquet expected utility
AbstractUsing 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 InfoArticle provided by Springer in its journal Economic Theory.
Volume (Year): 20 (2002)
Issue (Month): 1 ()
Note: Received: March 23, 2000; revised version: April 24, 2001
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Other versions of this item:
- Jiankang Zhang, 1999. "Subjective Ambiguity, Expected Utility and Choquet Expected Utility," Carleton Economic Papers 99-19, Carleton University, Department of Economics, revised Aug 2002.
- C69 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Other
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
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