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Risk, Ambiguity, and the Klibanoff Axioms

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Author Info
Kin Chung Lo () (Department of Economics, York University)

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Abstract

Machina (2007) formulates a number of experiments, and shows that they can be used to test the Choquet expected utility model. We show that one of them can also be used to test the class of maxmin expected utility preferences in Klibanoff (2001). Those preferences are not Choquet expected utility preferences, and they are not consistent with Choquet expected utility preferences in Machina’s experiment.

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File URL: http://dept.econ.yorku.ca/research/workingPapers/working_papers/2007/testmm.pdf
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Paper provided by York University, Department of Economics in its series Working Papers with number 2007_8.

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Length: 5 pages
Date of creation: Nov 2007
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Handle: RePEc:yca:wpaper:2007_8

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Related research
Keywords: Choquet expected utility; Ellsberg Paradox; Maxmin expected utility; Stochastic independence; Uncertainty;

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Find related papers by JEL classification:
D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty

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  1. Gilboa, Itzhak & Schmeidler, David, 1989. "Maxmin expected utility with non-unique prior," Journal of Mathematical Economics, Elsevier, vol. 18(2), pages 141-153, April. [Downloadable!] (restricted)
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