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Risk, Ambiguity, and the Rank-Dependence Axioms

Mark Machina ()

American Economic Review, 2009, vol. 99, issue 1, 385-92

Abstract: Choice problems in the spirit of Ellsberg (1961) suggest that rank-dependent ("Choquet expected utility") preferences over subjective gambles might be subject to the same difficulties that Ellsberg's earlier examples posed for subjective expected utility. These difficulties stem from event-separability properties that rank-dependent preferences partially retain from expected utility, and suggest that nonseparable models of preferences might be better at capturing features of behavior that lead to these paradoxes. (JEL D81)

JEL-codes: D81 (search for similar items in EconPapers)
Date: 2009
Note: DOI: 10.1257/aer.99.1.385
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