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Subjective Ambiguity, Expected Utility and Choquet Expected Utility

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Abstract

Using the Savage set up, the paper provides a simple axiomatization of the Choquet Expected Utility model where the capacity is an inner measure. Two attractive features of the model are its specificity and the transparency of its axioms.The key axiom states that the decision-maker uses unambiguous acts to approximate ambiguous ones, In addition, the notion of 'ambiguity' is subjective and derived from perferences.

Suggested Citation

  • Jiankang Zhang, 1999. "Subjective Ambiguity, Expected Utility and Choquet Expected Utility," Carleton Economic Papers 99-19, Carleton University, Department of Economics, revised Aug 2002.
    • Handle: RePEc:car:carecp:99-19
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    File URL: http://www.carleton.ca/economics/research/working-papers/carleton-economic-papers-cep/1991-2000/
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    Keywords

    subjective probability; ambiguity; ambiguity aversion;
    All these keywords.

    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty

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