Characterizing uncertainty aversion through preference for mixtures
Uncertainty aversion is often modelled as (strict) quasi-concavity of preferences over uncertain acts. A theory of uncertainty aversion may be characterized by the pairs of acts for which strict preference for a mixture between them is permitted. This paper provides such a characterization for two leading representations of uncertainty averse preferences; those of Schmeidler  (Choquet expected utility or CEU) and of Gilboa and Schmeidler  (maxmin expected utility with a non-unique prior or MMEU). This characterization clarifies the relation between the two theories.
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Volume (Year): 18 (2001)
Issue (Month): 2 ()
|Note:||Received: 20 February 1998/Accepted: 25 March 1999|
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