Least convex capacities

Larry Epstein and Jiankang Zhang ()

Economic Theory, 1999, vol. 13, issue 2, 263-286

Abstract: Debreu proposed the notion of `least concave utility' as a way to disentangle risk attitudes from the certainty preferences embedded in a von-Neumann Morgenstern index. This paper studies preferences under uncertainty, as opposed to risk, and examines a corresponding decomposition of preference. The analysis is carried out within the Choquet expected utility model of preference and is centered on the notion of a least convex capacity.

Keywords: Uncertainty; ·; Uncertainty; aversion; ·; Choquet; expected; utility; ·; Capacity; ·; Convex; capacity; ·; Risk; aversion; ·; Ambiguity; ·; Non-additive; probability. (search for similar items in EconPapers)
JEL-codes: C69 D81 (search for similar items in EconPapers)
Date: 1999-02-17
Note: Received: May 7, 1997; revised version: November 5, 1997
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Citations: View citations in EconPapers (5)

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