# Maxmin under risk

Economic Theory, 2002, vol. 19, issue 4, 823-831

Abstract: Let $\succsim$ be a continuous and convex weak order on the set of lotteries defined over a set Z of outcomes. Necessary and sufficient conditions are given to guarantee the existence of a set $\mathcal{U}$ of utility functions defined on Z such that, for any lotteries p and q, $p\succsim q \Leftrightarrow \min_{u\in{\mathcal U}}{\Bbb E} _p\left[ u\right] \geq \min_{u\in{\mathcal U}}{\Bbb E} _q\left[ u\right] .$ The interpretation is simple: a conservative decision maker has an unclear evaluation of the different outcomes when facing lotteries. She then acts as if she were considering many expected utility evaluations and taking the worst one.

Keywords: Expected utility; Minimum expected utility; Nonexpected utility. (search for similar items in EconPapers)
JEL-codes: D81 (search for similar items in EconPapers)
Date: 2002-02-06
Note: Received: January 19, 2000; revised version: December 20, 2000
Citations: View citations in EconPapers (17) Track citations by RSS feed

Access to the full text of the articles in this series is restricted

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Ordering information: This journal article can be ordered from
http://www.springer. ... eory/journal/199/PS2