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Risk, Ambiguity, and the Klibanoff Axioms

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  • Kin Chung Lo

    (Department of Economics, York University)

Abstract

Machina (2007) formulates a number of experiments, and shows that they can be used to test the Choquet expected utility model. We show that one of them can also be used to test the class of maxmin expected utility preferences in Klibanoff (2001). Those preferences are not Choquet expected utility preferences, and they are not consistent with Choquet expected utility preferences in Machina’s experiment.

Suggested Citation

  • Kin Chung Lo, 2007. "Risk, Ambiguity, and the Klibanoff Axioms," Working Papers 2007_8, York University, Department of Economics.
    • Handle: RePEc:yca:wpaper:2007_8
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    File URL: http://dept.econ.yorku.ca/research/workingPapers/working_papers/2007/testmm.pdf
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    References listed on IDEAS

    as
    1. Gilboa, Itzhak & Schmeidler, David, 1989. "Maxmin expected utility with non-unique prior," Journal of Mathematical Economics, Elsevier, vol. 18(2), pages 141-153, April.
    2. Schmeidler, David, 1989. "Subjective Probability and Expected Utility without Additivity," Econometrica, Econometric Society, vol. 57(3), pages 571-587, May.
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    More about this item

    Keywords

    Choquet expected utility; Ellsberg Paradox; Maxmin expected utility; Stochastic independence; Uncertainty;
    All these keywords.

    JEL classification:

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

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