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Piecewise Additivity for Nonexpected Utility

Listed author(s):
  • Craig S. Webb

A model of choice under purely subjective uncertainty, Piecewise Additive Choquet Expected utility, is introduced. PACE utility allows for optimism and pessimism simultaneously, but represents a minimal departure from expected utility. It can be seen as a continuous version of NEO-expected utility (Chateauneuf et al. in J Econ Theory 137:538–567, 2007 ) and, as such, is especially suited for applications with rich state spaces. The main theorem provides a preference foundation for PACE utility in the Savage framework of purely subjective uncertainty with an arbitrary outcome set. Copyright Springer-Verlag Berlin Heidelberg 2015

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File URL: http://hummedia.manchester.ac.uk/schools/soss/economics/discussionpapers/EDP-1503.pdf
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Paper provided by Economics, The University of Manchester in its series The School of Economics Discussion Paper Series with number 1503.

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Date of creation: 2015
Handle: RePEc:man:sespap:1503
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