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Duality in Non-Additive Expected Utility Theory

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  • Gilboa, Itzhak

Abstract

Some duality problems in expected utility theory, raised by the introduction of non—additive probabilities, are examined. Characterization of the probability measures, for which these problems do not arise, leads to an argument in favor of addivity.

Suggested Citation

  • Gilboa, Itzhak, 1985. "Duality in Non-Additive Expected Utility Theory," Foerder Institute for Economic Research Working Papers 275390, Tel-Aviv University > Foerder Institute for Economic Research.
    • Handle: RePEc:ags:isfiwp:275390
    DOI: 10.22004/ag.econ.275390
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    References listed on IDEAS

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    1. Quiggin, John, 1982. "A theory of anticipated utility," Journal of Economic Behavior & Organization, Elsevier, vol. 3(4), pages 323-343, December.
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    Cited by:

    1. Qi Nan Zhai, 2015. "Asset Pricing Under Ambiguity and Heterogeneity," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2015.
    2. Umberto Cherubini, 1997. "Fuzzy measures and asset prices: accounting for information ambiguity," Applied Mathematical Finance, Taylor & Francis Journals, vol. 4(3), pages 135-149.
    3. Jürgen Eichberger & David Kelsey, 2004. "Sequential Two-Player Games With Ambiguity," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 45(4), pages 1229-1261, November.
    4. Umberto Cherubini & Giovanni Della Lunga, 2001. "Liquidity and credit risk," Applied Mathematical Finance, Taylor & Francis Journals, vol. 8(2), pages 79-95.

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