Subjective independence and concave expected utility

• 成果类型: Article
• 署名作者: Lehrer, Ehud; Teper, Roee
• 署名单位: Tel Aviv University; INSEAD Business School; Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2015.03.011
• 发表日期: 2015
• 页码: 33-53
• 关键词: Subjective independence; Codecomposable independence; Concave expected utility; Choquet expected utility; Uncertainty aversion; Machina paradox

摘要

When a potential hedge between alternatives does not reduce the exposure to uncertainty, we say that the decision maker considers these alternatives structurally similar. We offer a novel approach and suggest that structural similarity is subjective and should be different across decision makers. Structural similarity can be recovered through a property of the individual's preferences referred to as subjective codecomposable independence. This property characterizes a class of event-separable models and allows us to differentiate between perception of uncertainty and attitude towards it. In addition, our approach provides a behavioral foundation to Concave Expected Utility preferences. (C) 2015 Elsevier Inc. All rights reserved.