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.
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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
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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
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