The analysis of optimal risk sharing has been thus far largely restricted to nonexpected utility models with concave … utility functions, where concavity is an expression of ambiguity aversion and/or risk aversion. This paper extends the … analysis to α-maxmin expected utility, Choquet expected utility, and cumulative prospect theory, which accommodate ambiguity …

subsequent times learns to behave as prescribed by the expected-utility model. To do so, the analysis moves from the relevant …), and this is true to a greater extent in a complex context. The expected-utility model explains real behaviours in the long …

We design and implement a novel experimental test of subjective expected utility theory and its generalizations. Our … sample of the US population. We find that a majority of subjects’ choices are consistent with maximization of some utility … function, but not with subjective utility theory. The theory is tested by gauging how subjects respond to price changes. A …