Risk, Ambiguity, and the Rank-Dependence Axioms
Choice problems in the spirit of Ellsberg (1961) suggest that rank-dependent ("Choquet expected utility") preferences over subjective gambles might be subject to the same difficulties that Ellsberg's earlier examples posed for subjective expected utility. These difficulties stem from event-separability properties that rank-dependent preferences partially retain from expected utility, and suggest that nonseparable models of preferences might be better at capturing features of behavior that lead to these paradoxes. (JEL D81)
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 99 (2009)
Issue (Month): 1 (March)
|Contact details of provider:|| Web page: https://www.aeaweb.org/aer/|
More information through EDIRC
|Order Information:||Web: https://www.aeaweb.org/subscribe.html|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- repec:ebl:ecbull:v:4:y:2008:i:19:p:1-6 is not listed on IDEAS
- Wakker, Peter P, 2001. "Testing and Characterizing Properties of Nonadditive Measures through Violations of the Sure-Thing Principle," Econometrica, Econometric Society, vol. 69(4), pages 1039-1059, July.
- A. Marley & R. Luce, 2005. "Independence Properties Vis-Ã€-Vis Several Utility Representations," Theory and Decision, Springer, vol. 58(1), pages 77-143, February.
- Laetitia Placido & Olivier L'Haridon, 2008.
"An allais paradox for generalized expected utility theories?,"
AccessEcon, vol. 4(19), pages 1-6.
- Laetitia Placido & Olivier L'Haridon, 2008. "An Allais paradox for generalized Expected Utility Theories ?," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00645882, HAL.
- Segal, Uzi, 1987. "The Ellsberg Paradox and Risk Aversion: An Anticipated Utility Approach," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 28(1), pages 175-202, February.
- Uzi Segal, 1985. "The Ellsberg Paradox and Risk Aversion: An Anticipated Utility Approach," UCLA Economics Working Papers 362, UCLA Department of Economics.
- Nakamura, Yutaka, 1990. "Subjective expected utility with non-additive probabilities on finite state spaces," Journal of Economic Theory, Elsevier, vol. 51(2), pages 346-366, August.
- Wu, George, 1994. "An Empirical Test of Ordinal Independence," Journal of Risk and Uncertainty, Springer, vol. 9(1), pages 39-60, July.
- Fennema, Hein & Wakker, Peter, 1996. "A Test of Rank-Dependent Utility in the Context of Ambiguity," Journal of Risk and Uncertainty, Springer, vol. 13(1), pages 19-35, July. Full references (including those not matched with items on IDEAS)