Subjective Ambiguity, Expected Utility and Choquet Expected Utility

Jiankang Zhang ()

No 99-19, Carleton Economic Papers from Carleton University, Department of Economics

Abstract: Using the Savage set up, the paper provides a simple axiomatization of the Choquet Expected Utility model where the capacity is an inner measure. Two attractive features of the model are its specificity and the transparency of its axioms.The key axiom states that the decision-maker uses unambiguous acts to approximate ambiguous ones, In addition, the notion of 'ambiguity' is subjective and derived from perferences.

Keywords: subjective probability; ambiguity; ambiguity aversion (search for similar items in EconPapers)
JEL-codes: D81 (search for similar items in EconPapers)
Pages: 26 pages
Date: 1999-11, Revised 2002-08
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Citations: View citations in EconPapers (33)

Published: – revised version in Economic Theory, Vol. 20, No. 1 (August 2002), pp. 159–181

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Journal Article: Subjective ambiguity, expected utility and Choquet expected utility (2002)
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