Choice under uncertainty with the best and worst in mind: neo-additive capacities

Alain Chateauneuf, Jürgen Eichberger and Simon Grant

No 03-10, Papers from Sonderforschungsbreich 504

Abstract: The concept of a non-extreme-outcome-additive capacity (neo-additive capacity ) is introduced. Neo-additive capacities model optimistic and pessimistic attitudes towards uncer-tainty as observed in many experimental studies. Moreover, neo-additive capacities can be applied easily in economic problems, as we demonstrate by examples. This paper provides an axiomatisation of Choquet expected utility with neo-capacities in a framework of purely subjective uncertainty.

Keywords: optimism; pessimism; Choquet expected utility; portfolio choice (search for similar items in EconPapers)
JEL-codes: D81 (search for similar items in EconPapers)
Date: 2003
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
https://madoc.bib.uni-mannheim.de/2773/1/dp03_10.pdf

Related works:
Journal Article: Choice under uncertainty with the best and worst in mind: Neo-additive capacities (2007)
Working Paper: Choice under uncertainty with the best and worst in mind: neo-additive capacities (2007)
Working Paper: Choice under uncertainty with the best and worst in mind: neo-additive capacities (2007)
Working Paper: Choice under Uncertainty with the Best and Worst in Mind: Neo-additive Capacities (2002)
This item may be available elsewhere in EconPapers: Search for items with the same title.

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

Persistent link: https://EconPapers.repec.org/RePEc:mnh:spaper:2773

Access Statistics for this paper

More papers in Papers from Sonderforschungsbreich 504 Contact information at EDIRC.
Bibliographic data for series maintained by Katharina Rautenberg (katharina.rautenberg@bib.uni-mannheim.de).