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Choquet expected discounted utility

Author

Listed:
  • Lorenzo Bastianello

    (PSE - Paris School of Economics - UP1 - Université Paris 1 Panthéon-Sorbonne - ENS-PSL - École normale supérieure - Paris - PSL - Université Paris Sciences et Lettres - EHESS - École des hautes études en sciences sociales - ENPC - École nationale des ponts et chaussées - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement)

  • José Heleno Faro

Abstract

We study intertemporal decision making under uncertainty in a purely subjective framework. The concept of stationarity, introduced by Koopmans for deterministic discounted utility, is naturally extended to a framework with uncertainty and plays a central role for both attitudes towards time and uncertainty. We show that a strong stationarity axiom characterizes discounted expected utility. When considerations about correlations across time between uncertain outcomes are taken into account, a weaker stationarity axiom generalizes discounted expected utility to Choquet expected discounted utility, allowing for non-neutral attitudes towards subjective uncertainty.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Lorenzo Bastianello & José Heleno Faro, 2022. "Choquet expected discounted utility," Post-Print hal-04103604, HAL.
    • Handle: RePEc:hal:journl:hal-04103604
    DOI: 10.1007/s00199-022-01438-0
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    Cited by:

    1. Chateauneuf, Alain & Faro, José Heleno & Tallon, Jean-Marc & Vergopoulos, Vassili, 2024. "Alpha-maxmin as an aggregation of two selves," Journal of Mathematical Economics, Elsevier, vol. 113(C).
    2. Principi, Giulio & Wakker, Peter P. & Wang, Ruodu, 2025. "Anticomonotonicity for preference axioms: The natural counterpart to comonotonicity," Theoretical Economics, Econometric Society, vol. 20(3), July.
    3. Michel Grabisch & Benjamin Monet & Vassili Vergopoulos, 2023. "Subjective expected utility through stochastic independence," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 76(3), pages 723-757, October.
    4. Thomas J. Sargent & John Stachurski, 2024. "Dynamic Programming: Finite States," Papers 2401.10473, arXiv.org.
    5. Benjamin Monet & Vassili Vergopoulos, 2024. "Ambiguity, randomization and the timing of resolution of uncertainty," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 78(4), pages 1021-1045, December.

    More about this item

    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search; Learning; Information and Knowledge; Communication; Belief; Unawareness
    • D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations

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