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An Axiomatization of Choquet Expected Utility with Cominimum Independence

Author

Listed:
  • Takao Asano

    () (Faculty of Economics, Okayama University)

  • Hiroyuki Kojima

    () (Department of Economics, Teikyo University)

Abstract

This paper proposes a class of independence axioms for simple acts. By introducing the E-cominimum independence axiom that is stronger than the comonotonic independence axiom but weaker than the independence axiom, we provide a new axiomatization theorem of simple acts within the framework of Choquet Expected Utility. Furthermore, in order to provide the axiomatization of simple acts, we generalize Kajii, Kojima, and Ui (2007, Journal of Mathematical Economics) into an infinite state space. Our axiomatization theorem relates Choquet Expected Utility to Multi-prior Expected Utility through the core of a capacity that is explicitly derived within our framework. Our result in this paper also derives Gilboa (1989, Econometrica), Eichberger and Kelsey (1999, Theory and Decision), and Rohde (2010, Social Choice and Welfare) as a corollary.

Suggested Citation

  • Takao Asano & Hiroyuki Kojima, 2013. "An Axiomatization of Choquet Expected Utility with Cominimum Independence," KIER Working Papers 878, Kyoto University, Institute of Economic Research.
  • Handle: RePEc:kyo:wpaper:878
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    File URL: http://www.kier.kyoto-u.ac.jp/DP/DP878.pdf
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    References listed on IDEAS

    as
    1. Asano, Takao, 2006. "Portfolio inertia under ambiguity," Mathematical Social Sciences, Elsevier, vol. 52(3), pages 223-232, December.
    2. Kirsten Rohde, 2010. "A preference foundation for Fehr and Schmidt’s model of inequity aversion," Social Choice and Welfare, Springer;The Society for Social Choice and Welfare, vol. 34(4), pages 537-547, April.
    3. Jürgen Eichberger & David Kelsey, 1999. "E-Capacities and the Ellsberg Paradox," Theory and Decision, Springer, vol. 46(2), pages 107-138, April.
    4. Gilboa, Itzhak, 1989. "Expectation and Variation in Multi-period Decisions," Econometrica, Econometric Society, vol. 57(5), pages 1153-1169, September.
    5. Schmeidler, David, 1989. "Subjective Probability and Expected Utility without Additivity," Econometrica, Econometric Society, vol. 57(3), pages 571-587, May.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    Cominimum Additivity; Cominimum Independence; Choquet Expected Utility; Multi-prior Expected Utility; Core; E-Capacity Expected Utility;

    JEL classification:

    • C71 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Cooperative Games
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • D90 - Microeconomics - - Micro-Based Behavioral Economics - - - General

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