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An Axiomatization of Choquet Expected Utility with Cominimum Independence

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  • Takao Asano

    ()
    (Faculty of Economics, Okayama University)

  • Hiroyuki Kojima

    ()
    (Department of Economics, Teikyo University)

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    Abstract

    This paper proposes a class of independence axioms for simple acts. By introducing the E-cominimum independence axiom that is stronger than the comonotonic independence axiom but weaker than the independence axiom, we provide a new axiomatization theorem of simple acts within the framework of Choquet Expected Utility. Furthermore, in order to provide the axiomatization of simple acts, we generalize Kajii, Kojima, and Ui (2007, Journal of Mathematical Economics) into an infinite state space. Our axiomatization theorem relates Choquet Expected Utility to Multi-prior Expected Utility through the core of a capacity that is explicitly derived within our framework. Our result in this paper also derives Gilboa (1989, Econometrica), Eichberger and Kelsey (1999, Theory and Decision), and Rohde (2010, Social Choice and Welfare) as a corollary.

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    File URL: http://www.kier.kyoto-u.ac.jp/DP/DP878.pdf
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    Bibliographic Info

    Paper provided by Kyoto University, Institute of Economic Research in its series KIER Working Papers with number 878.

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    Length: 25pages
    Date of creation: Sep 2013
    Date of revision:
    Handle: RePEc:kyo:wpaper:878

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    Related research

    Keywords: Cominimum Additivity; Cominimum Independence; Choquet Expected Utility; Multi-prior Expected Utility; Core; E-Capacity Expected Utility;

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    References

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    1. David Schmeidler, 1989. "Subjective Probability and Expected Utility without Additivity," Levine's Working Paper Archive 7662, David K. Levine.
    2. Gilboa, Itzhak, 1989. "Expectation and Variation in Multi-period Decisions," Econometrica, Econometric Society, vol. 57(5), pages 1153-69, September.
    3. Asano, Takao, 2006. "Portfolio inertia under ambiguity," Mathematical Social Sciences, Elsevier, vol. 52(3), pages 223-232, December.
    4. Kirsten Rohde, 2010. "A preference foundation for Fehr and Schmidt’s model of inequity aversion," Social Choice and Welfare, Springer, vol. 34(4), pages 537-547, April.
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