Dutch book rationality conditions for conditional preferences under ambiguity
Giulianella Coletti (),
Davide Petturiti () and
Barbara Vantaggi ()
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Giulianella Coletti: University of Perugia
Davide Petturiti: University of Perugia
Barbara Vantaggi: “La Sapienza” University of Rome
Annals of Operations Research, 2019, vol. 279, issue 1, 115-150
Abstract We study preference relations on conditional gambles of a decision maker acting under ambiguity. Dutch book rationality conditions are provided under a linear utility scale, encoding either an optimistic or a pessimistic attitude towards uncertainty. These conditions characterize possibly incomplete preferences representable by totally alternating or monotone conditional functionals. In general, the uniqueness of the representation is not guaranteed, but it can be obtained by adding the hypothesis of existence of a conditional fair price for every conditional gamble. The given rationality conditions have a betting scheme interpretation relying on “penalty fees” for betting on strict preference comparisons.
Keywords: Conditional gambles; Preferences; Choquet expected value; Ambiguity; Conditional totally alternating capacity; Conditional totally monotone capacity; Dutch book (search for similar items in EconPapers)
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