Piecewise additivity for non-expected utility
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- 作者：Craig S. Webb
- 关键词：Optimism ; Pessimism ; Inverse ; S ; Choquet expected utility ; NEO ; additive capacities ; Probabilistic sophistication ; D81
- 刊名：Economic Theory
- 出版年：2015
- 出版时间：October 2015
- 年：2015
- 卷：60
- 期：2
- 页码：371-392
- 全文大小：552 KB
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1. Economics, School of Social Sciences, The University of Manchester, Oxford Road, Manchester, M13 9PL, UK - 刊物类别：Business and Economics
- 刊物主题：Economics
Economic Theory
Economics
Analysis - 出版者：Springer Berlin / Heidelberg
- ISSN：1432-0479
文摘
A model of choice under purely subjective uncertainty, Piecewise Additive Choquet Expected utility, is introduced. PACE utility allows for optimism and pessimism simultaneously, but represents a minimal departure from expected utility. It can be seen as a continuous version of NEO-expected utility (Chateauneuf et al. in J Econ Theory 137:538-67, 2007) and, as such, is especially suited for applications with rich state spaces. The main theorem provides a preference foundation for PACE utility in the Savage framework of purely subjective uncertainty with an arbitrary outcome set. Keywords Optimism Pessimism Inverse-S Choquet expected utility NEO-additive capacities Probabilistic sophistication