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Subjective ambiguity, expected utility and Choquet expected utility

Author

Listed:
  • Jiankang Zhang

    (Department of Economics, Carleton University, 1125 Colonel By Drive, Ottawa, Ontario K1S 5B6, CANADA)

Abstract

Using the Savage set up, this paper provides a simple axiomatization of the Choquet Expected Utility model where the capacity is an inner measure. Two attractive features of the model are its specificity and the transparency of its axioms. The key axiom states that the decision-maker uses unambiguous acts to approximate ambiguous ones. In addition, the notion of `ambiguity' is subjective and derived from preferences.

Suggested Citation

  • Jiankang Zhang, 2002. "Subjective ambiguity, expected utility and Choquet expected utility," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 20(1), pages 159-181.
  • Handle: RePEc:spr:joecth:v:20:y:2002:i:1:p:159-181
    Note: Received: March 23, 2000; revised version: April 24, 2001
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    Keywords

    Ambiguity; Expected utility; Choquet expected utility; Capacity; Inner measure; $lambda $-system.;
    All these keywords.

    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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