Risk, Ambiguity, and the Klibanoff Axioms
AbstractMachina (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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Bibliographic InfoPaper provided by York University, Department of Economics in its series Working Papers with number 2007_8.
Length: 5 pages
Date of creation: Nov 2007
Date of revision:
Choquet expected utility; Ellsberg Paradox; Maxmin expected utility; Stochastic independence; Uncertainty;
Find related papers by JEL classification:
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
This paper has been announced in the following NEP Reports:
- NEP-ALL-2007-11-24 (All new papers)
- NEP-CBE-2007-11-24 (Cognitive & Behavioural Economics)
- NEP-UPT-2007-11-24 (Utility Models & Prospect Theory)
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