Choquet expected utility with affine capacities

Pascal Toquebeuf

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Abstract: This paper studies decisions under ambiguity when attention is paid to extreme outcomes. In a purely subjective framework, we propose an axiomatic characterization of affine capacities, which are Choquet capacities consisting in an affine transformation of a subjective probability. Our main axiom restricts the well-known Savage's Sure-Thing Principle to a change in a common intermediate outcome. The representation result is then an affine combination of the expected utility of the valued act and its maximal and minimal utilities.

Keywords: affine capacities; ambiguity; extreme outcomes; CEU; neo-additive capacities (search for similar items in EconPapers)
Date: 2016
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Published in Theory and Decision, 2016, 81 (2), pp.177-187. ⟨10.1007/s11238-015-9529-5⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-01250975

DOI: 10.1007/s11238-015-9529-5

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