Subjective Ambiguity, Expected Utility and Choquet Expected Utility
AbstractUsing the Savage set up, the 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 perferences.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Carleton University, Department of Economics in its series Carleton Economic Papers with number 99-19.
Length: 26 pages
Date of creation: Nov 1999
Date of revision: Aug 2002
Publication status: Published: – revised version in Economic Theory, Vol. 20, No. 1 (August 2002), pp. 159–181
Contact details of provider:
Postal: 1125 Colonel By Drive, Ottawa Ontario, K1S 5B6 Canada
Other versions of this item:
- Jiankang Zhang, 2002. "Subjective ambiguity, expected utility and Choquet expected utility," Economic Theory, Springer, vol. 20(1), pages 159-181.
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Alain Chateauneuf & Luciano I. de Castro, 2011.
"Ambiguity Aversion and Trade,"
1526, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- Ehud Lehrer, 2012. "Partially Specified Probabilities: Decisions and Games," American Economic Journal: Microeconomics, American Economic Association, vol. 4(1), pages 70-100, February.
- Dominiak, Adam & Lefort, Jean-Philippe, 2011. "Unambiguous events and dynamic Choquet preferences," Economics Papers from University Paris Dauphine 123456789/7323, Paris Dauphine University.
- Massimiliano Amarante & Emel Filiz, 2004.
"Ambiguous events and Maxmin Expected Utility,"
0405-09, Columbia University, Department of Economics.
- 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.
- Takao Asano, 2004. "Portfolio Inertia under Ambiguity," ISER Discussion Paper 0609, Institute of Social and Economic Research, Osaka University.
- Dominiak, Adam & Lefort, Jean-Philippe, 2009.
"Unambiguous Events and Dynamic Choquet Preferences,"
0489, University of Heidelberg, Department of Economics.
- Adam Dominiak & Jean-Philippe Lefort, 2011. "Unambiguous events and dynamic Choquet preferences," Economic Theory, Springer, vol. 46(3), pages 401-425, April.
- Lefort, Jean-Philippe & Dominiak, Adam, 2011. ""Agreeing to Disagree" Type Results under Ambiguity," Economics Papers from University Paris Dauphine 123456789/8575, Paris Dauphine University.
- Qu, Xiangyu, 2013. "Maxmin expected utility with additivity on unambiguous events," Journal of Mathematical Economics, Elsevier, vol. 49(3), pages 245-249.
- Asano, Takao, 2006. "Portfolio inertia under ambiguity," Mathematical Social Sciences, Elsevier, vol. 52(3), pages 223-232, December.
- Peter Klibanoff & Massimo Marinacci & Sujoy Mukerji, 2011.
"Definitions of ambiguous events and the smooth ambiguity model,"
Springer, vol. 48(2), pages 399-424, October.
- 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.
- 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.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Renee Lortie).
If references are entirely missing, you can add them using this form.