An Axiomatization of Choquet Expected Utility with Cominimum Independence
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.
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- Asano, Takao, 2006. "Portfolio inertia under ambiguity," Mathematical Social Sciences, Elsevier, vol. 52(3), pages 223-232, December.
- Gilboa, Itzhak, 1989. "Expectation and Variation in Multi-period Decisions," Econometrica, Econometric Society, vol. 57(5), pages 1153-69, September.
- David Schmeidler, 1989.
"Subjective Probability and Expected Utility without Additivity,"
Levine's Working Paper Archive
7662, David K. Levine.
- Schmeidler, David, 1989. "Subjective Probability and Expected Utility without Additivity," Econometrica, Econometric Society, vol. 57(3), pages 571-87, May.
- Eichberger, J. & Kelsey, D., 1996.
"E-Capacities and the Ellsberg Paradox,"
96-13, Department of Economics, University of Birmingham.
- Kirsten Rohde, 2010. "A preference foundation for Fehr and Schmidt’s model of inequity aversion," Social Choice and Welfare, Springer, vol. 34(4), pages 537-547, April.
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