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

• 成果类型: Article
• 署名作者: Chateauneuf, Alain; Eichberger, Juergen; Grant, Simon
• 署名单位: Ruprecht Karls University Heidelberg; heSam Universite; Universite Pantheon-Sorbonne; Rice University
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2007.01.017
• 发表日期: 2007
• 页码: 538-567
• 关键词: subjective mixtures; comonotonic preferences; Choquet expected utility; optimism; pessimism

摘要

We develop the simplest generalization of subjective expected utility that can accommodate both optimistic and pessimistic attitudes towards uncertainty-Choquet expected utility with non-extreme-outcome-additive (neo-additive) capacities. A neo-additive capacity can be expressed as the convex combination of a probability and a special capacity, we refer to as a Hurwicz capacity, that only distinguishes between whether an event is impossible, possible or certain. We show that neo-additive capacities can be readily applied in economic problems, and we provide an axiomatization in a framework of purely subjective uncertainty. (c) 2007 Elsevier Inc. All rights reserved.