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Ambiguity and Nonexpected Utility

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  • Karni, Edi
  • Maccheroni, Fabio
  • Marinacci, Massimo

Abstract

This chapter reviews developments in the theory of decision making under risk and uncertainty, focusing on models that, over the last 40 years, dominated the theoretical discussions. It also surveys some implications of the departures from the “linearity in the probabilities†aspect of expected utility theory to game theory. The chapter consists of two main parts: The first part reviews models of decision making under risk that depart from the independence axiom, focusing on the rank-dependent utility models and cumulative prospect theory. The second part reviews theories of decision making under uncertainty that depart from the sure thing principle and model the phenomenon of ambiguity and ambiguity aversion.

Suggested Citation

  • Karni, Edi & Maccheroni, Fabio & Marinacci, Massimo, 2015. "Ambiguity and Nonexpected Utility," Handbook of Game Theory with Economic Applications,, Elsevier.
    • Handle: RePEc:eee:gamchp:v:4:y:2015:i:c:p:901-947
    DOI: 10.1016/B978-0-444-53766-9.00017-3
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    More about this item

    Keywords

    Nonexpected utility; Rank dependent utility; Ambiguity; Ambiguity aversion; Smooth ambiguity aversion; Auction theory; Decision making under uncertainty; D81; C7;
    All these keywords.

    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • C7 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory

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