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Subjective Ambiguity, Expected Utility and Choquet Expected Utility

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Abstract

Using 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.

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File URL: http://www1.carleton.ca/economics/research/working-papers/carleton-economic-papers-cep/1991-2000/
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Bibliographic Info

Paper provided by Carleton University, Department of Economics in its series Carleton Economic Papers with number 99-19.

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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
Handle: RePEc:car:carecp:99-19

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Keywords: subjective probability; ambiguity; ambiguity aversion;

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Cited by:
  1. Lefort, Jean-Philippe & Dominiak, Adam, 2011. ""Agreeing to Disagree" Type Results under Ambiguity," Economics Papers from University Paris Dauphine 123456789/8575, Paris Dauphine University.
  2. Adam Dominiak & Jean-Philippe Lefort, 2011. "Unambiguous events and dynamic Choquet preferences," Economic Theory, Springer, vol. 46(3), pages 401-425, April.
  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. 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.
  5. Asano, Takao, 2006. "Portfolio inertia under ambiguity," Mathematical Social Sciences, Elsevier, vol. 52(3), pages 223-232, December.
  6. 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.
  7. Qu, Xiangyu, 2013. "Maxmin expected utility with additivity on unambiguous events," Journal of Mathematical Economics, Elsevier, vol. 49(3), pages 245-249.
  8. Peter Klibanoff & Massimo Marinacci & Sujoy Mukerji, 2011. "Definitions of ambiguous events and the smooth ambiguity model," Economic Theory, Springer, vol. 48(2), pages 399-424, October.
  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. Ehud Lehrer, 2012. "Partially Specified Probabilities: Decisions and Games," American Economic Journal: Microeconomics, American Economic Association, vol. 4(1), pages 70-100, February.
  11. Amarante, Massimiliano & Filiz, Emel, 2007. "Ambiguous events and maxmin expected utility," Journal of Economic Theory, Elsevier, vol. 134(1), pages 1-33, May.
  12. Takao Asano, 2004. "Portfolio Inertia under Ambiguity," ISER Discussion Paper 0609, Institute of Social and Economic Research, Osaka University.

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