Subjective ambiguity, expected utility and Choquet expected utility

Using the Savage set up, this paper provides a simple axiomatization of the Choquet Expected Utility model where the capacity is an inner measure. Two attractive features of the model are its specificity and the transparency of its axioms. The key axiom states that the decision-maker uses unambiguous acts to approximate ambiguous ones. In addition, the notion of `ambiguity' is subjective and derived from preferences.

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Year of publication:	2002-02-20
Authors:	Zhang, Jiankang
Published in:	Economic Theory. - Springer. - Vol. 20.2002, 1, p. 159-181
Publisher:	Springer
Subject:	Ambiguity \| Expected utility \| Choquet expected utility \| Capacity \| Inner measure \| $\lambda $-system

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Extent:	application/pdf
Type of publication:	Article
Notes:	Received: March 23, 2000; revised version: April 24, 2001
Classification:	C69 - Mathematical Methods and Programming. Other ; D81 - Criteria for Decision-Making under Risk and Uncertainty
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005371179