Least convex capacities
Debreu proposed the notion of `least concave utility' as a way to disentangle risk attitudes from the certainty preferences embedded in a von-Neumann Morgenstern index. This paper studies preferences under uncertainty, as opposed to risk, and examines a corresponding decomposition of preference. The analysis is carried out within the Choquet expected utility model of preference and is centered on the notion of a least convex capacity.
Volume (Year): 13 (1999)
Issue (Month): 2 ()
|Note:||Received: May 7, 1997; revised version: November 5, 1997|
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