Choquet expected discounted utility

Lorenzo Bastianello () and José Heleno Faro ()
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Lorenzo Bastianello: LEMMA, Université Paris 2 Panthéon-Assas
José Heleno Faro: Insper

Economic Theory, 2023, vol. 75, issue 4, No 5, 1098 pages

Abstract: Abstract We study intertemporal decision making under uncertainty in a purely subjective framework. The concept of stationarity, introduced by Koopmans for deterministic discounted utility, is naturally extended to a framework with uncertainty and plays a central role for both attitudes towards time and uncertainty. We show that a strong stationarity axiom characterizes discounted expected utility. When considerations about correlations across time between uncertain outcomes are taken into account, a weaker stationarity axiom generalizes discounted expected utility to Choquet expected discounted utility, allowing for non-neutral attitudes towards subjective uncertainty.

Keywords: Ambiguity; Intertemporal choice; (Choquet) Discounted expected utility; Stationarity; Serial correlation; Uncertainty aversion/seeking (search for similar items in EconPapers)
JEL-codes: D81 D83 D84 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (4)

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DOI: 10.1007/s00199-022-01438-0

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