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Least convex capacities

Author

Listed:
  • Larry G. Epstein

    (Department of Economics, University of Rochester, Harkness Hall, Rochester, NY 14627-0156, USA)

  • Jiankang Zhang

    (Department of Economics, University of Rochester, Harkness Hall, Rochester, NY 14627-0156, USA)

Abstract

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.

Suggested Citation

  • Larry G. Epstein & Jiankang Zhang, 1999. "Least convex capacities," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 13(2), pages 263-286.
    • Handle: RePEc:spr:joecth:v:13:y:1999:i:2:p:263-286
    Note: Received: May 7, 1997; revised version: November 5, 1997
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    Citations

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    Cited by:

    1. Hosoya, Yuhki, 2022. "An axiom for concavifiable preferences in view of Alt’s theory," Journal of Mathematical Economics, Elsevier, vol. 98(C).
    2. Takao Asano, 2004. "Portfolio Inertia under Ambiguity," ISER Discussion Paper 0609, Institute of Social and Economic Research, Osaka University.
    3. Nishimura, Kiyohiko G. & Ozaki, Hiroyuki, 2004. "Search and Knightian uncertainty," Journal of Economic Theory, Elsevier, vol. 119(2), pages 299-333, December.
    4. Lo, Kin Chung, 2000. "Epistemic conditions for agreement and stochastic independence of [epsi]-contaminated beliefs," Mathematical Social Sciences, Elsevier, vol. 39(2), pages 207-234, March.
    5. Kin Chung Lo, 1998. "Epistemic Conditions for Agreement and Stochastic Independence of epsilon-Contaminated Beliefs," Working Papers 1998_02, York University, Department of Economics.

    More about this item

    Keywords

    Uncertainty · Uncertainty aversion · Choquet expected utility · Capacity · Convex capacity · Risk aversion · Ambiguity · Non-additive probability.;

    JEL classification:

    • C69 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Other
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty

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