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On the confidence preferences model

Alain Chateauneuf () and José Faro ()

PSE - Labex "OSE-Ouvrir la Science Economique" from HAL

Abstract: In this paper we study the model of decision under uncertainty consistent with confidence preferences. In that model, a decision maker held beliefs represented by a fuzzy set of priors and tastes captured by a standard affine utility index on consequences. First, we find some interesting properties concerning the well-known maxmin expected utility model, taking into account the point of view of the confidence preferences model. Further, we provide new examples of preferences that capture ambiguity-averse attitudes weaker than ambiguity attitudes featured by maxmin expected utility theory. Finally, we discuss the axiomatic foundations for the confidence preferences model with optimistic behavior.

Keywords: Multiple priors model; Nonadditive measures; Fuzzy priors; Economics; Decision analysis; Confidence functions (search for similar items in EconPapers)
Date: 2012-02
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Published in Fuzzy Sets and Systems, Elsevier, 2012, 188 (1), pp.1-15. ⟨10.1016/j.fss.2011.08.002⟩

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DOI: 10.1016/j.fss.2011.08.002

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