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Duality in Non-Additive Expected Utility Theory

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  • Itzhak Gilboa

    (Northwestern University [Evanston])

Abstract

Some duality problems in expected utility theory, raised by the introduction of non-additive probabilities, are examined. These problems do not arise if the probability measure is symmetric; i.e. has the property of complementary additivity. Additional, mild properties of coherence of conditional probabilities imply full additivity of the unconditional measure.

Suggested Citation

  • Itzhak Gilboa, 1989. "Duality in Non-Additive Expected Utility Theory," Post-Print hal-00753238, HAL.
    • Handle: RePEc:hal:journl:hal-00753238
    DOI: 10.1007/BF02283531
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    Cited by:

    1. Umberto Cherubini, 1997. "Fuzzy measures and asset prices: accounting for information ambiguity," Applied Mathematical Finance, Taylor & Francis Journals, vol. 4(3), pages 135-149.
    2. Umberto Cherubini & Giovanni Della Lunga, 2001. "Liquidity and credit risk," Applied Mathematical Finance, Taylor & Francis Journals, vol. 8(2), pages 79-95.
    3. 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, January-A.
    4. Huang, Zhenxing & Li, Wengang & Yang, Jia, 2023. "Belief updating under ambiguity: A numerical simulation analysis," Economics Letters, Elsevier, vol. 233(C).
    5. 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.

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