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An Axiomatic Approach to ƒÃ-contamination

  • Kiyohiko G. Nishimura

    (Faculty of Economics, University of Tokyo)

  • Hiroyuki Ozaki

    (Faculty of Economics, Tohoku University)

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    Suppose that an economic agent is (1|ƒÃ)~100% certain that uncertainty she faces is characterized by a particular probability measure, but that she has a fear that, with ƒÃ~100% chance, her conviction is completely wrong and she is left perfectly ignorant about the true measure in the present as well as in the future.This situation is often called "ƒÃ-contamination of con dence." The purpose of this paper is to provide a simple set of behavioral axioms under which the decision-maker's preference is represented by the Choquet expected utility with the ƒÃ-contamination of con dence.

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    File URL: http://www.cirje.e.u-tokyo.ac.jp/research/dp/2002/2002cf183.pdf
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    Paper provided by CIRJE, Faculty of Economics, University of Tokyo in its series CIRJE F-Series with number CIRJE-F-183.

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    Length: 17 pages
    Date of creation: Nov 2002
    Date of revision:
    Handle: RePEc:tky:fseres:2002cf183
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    1. Schmeidler, David, 1989. "Subjective Probability and Expected Utility without Additivity," Econometrica, Econometric Society, vol. 57(3), pages 571-87, May.
    2. Zengjing Chen & Larry G. Epstein, 2000. "Ambiguity, risk and asset returns in continuous time," RCER Working Papers 474, University of Rochester - Center for Economic Research (RCER).
    3. Gilboa, Itzhak, 1987. "Expected utility with purely subjective non-additive probabilities," Journal of Mathematical Economics, Elsevier, vol. 16(1), pages 65-88, February.
    4. Gilboa, Itzhak & Schmeidler, David, 1989. "Maxmin expected utility with non-unique prior," Journal of Mathematical Economics, Elsevier, vol. 18(2), pages 141-153, April.
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