scholarly journals Under stochastic dominance Choquet-expected utility and anticipated utility are identical

1990 ◽  
Vol 29 (2) ◽  
pp. 119-132 ◽  
Author(s):  
Peter Wakker
Keyword(s):  
Expected Utility ◽  
Stochastic Dominance ◽  
Choquet Expected Utility ◽  
Anticipated Utility

Choquet expected utility with affine capacities

2015 ◽  
Vol 81 (2) ◽  
pp. 177-187
Author(s):  
Pascal Toquebeuf
Keyword(s):  
Expected Utility ◽  
Choquet Expected Utility

scholarly journals Testing Ambiguity Models through the Measurement of Probabilities for Gains and Losses

2015 ◽  
Vol 7 (2) ◽  
pp. 77-100 ◽  
Author(s):  
Aurélien Baillon ◽  
Han Bleichrodt
Keyword(s):  
Expected Utility ◽  
Ambiguity Aversion ◽  
Choquet Expected Utility ◽  
Maxmin Expected Utility ◽  
Stock Indices ◽  
Descriptive Validity ◽  
Utility Models ◽  
Ambiguity Attitudes ◽  
Gains And Losses ◽  
Fourfold Pattern

This paper reports on two experiments that test the descriptive validity of ambiguity models using a natural source of uncertainty (the evolution of stock indices) and both gains and losses. We observed violations of probabilistic sophistication, violations that imply a fourfold pattern of ambiguity attitudes: ambiguity aversion for likely gains and unlikely losses and ambiguity seeking for unlikely gains and likely losses. Our data are most consistent with prospect theory and, to a lesser extent, α-maxmin expected utility and Choquet expected utility. Models with uniform ambiguity attitudes are inconsistent with most of the observed behavioral patterns. (JEL D81, D83, G11, G12, G14)

scholarly journals A simple axiomatization and constructive representation proof for choquet expected utility

2003 ◽  
Vol 22 (4) ◽  
pp. 907-915 ◽  
Author(s):  
Alain Chateauneuf ◽  
Jürgen Eichberger ◽  
Simon Grant
Keyword(s):  
Expected Utility ◽  
Choquet Expected Utility

Subjective ambiguity, expected utility and Choquet expected utility

2002 ◽  
Vol 20 (1) ◽  
pp. 159-181 ◽  
Author(s):  
Jiankang Zhang
Keyword(s):  
Expected Utility ◽  
Choquet Expected Utility

A Behavioral Characterization of the Likelihood Ratio Order

2021 ◽  
Vol 3 (3) ◽  
pp. 353-366
Author(s):  
Maximilian Mihm ◽  
Lucas Siga
Keyword(s):  
Likelihood Ratio ◽  
Expected Utility ◽  
Stochastic Dominance ◽  
Likelihood Ratio Order ◽  
Finite Set ◽  
Behavioral Characterization

It is well known that stochastic dominance is equivalent to a unanimity property for monotone expected utilities. For lotteries over a finite set of prizes, we establish an analogous relationship between likelihood ratio dominance and monotone betweenness preferences, which are an important generalization of expected utility. (JEL D11, D44)

Ambiguity Models and the Machina Paradoxes

2011 ◽  
Vol 101 (4) ◽  
pp. 1547-1560 ◽  
Author(s):  
AurÉlien Baillon ◽  
Olivier L'Haridon ◽  
Laetitia Placido
Keyword(s):  
Expected Utility ◽  
Ambiguity Aversion ◽  
Choquet Expected Utility ◽  
Maxmin Expected Utility ◽  
Alternative Representation ◽  
Smooth Model ◽  
Variational Preferences

Machina (2009) introduced two examples that falsify Choquet expected utility, presently one of the most popular models of ambiguity. This article shows that Machina's examples falsify not only the model mentioned, but also four other popular models for ambiguity of the literature, namely maxmin expected utility, variational preferences, α-maxmin, and the smooth model of ambiguity aversion. Thus, Machina's examples pose a challenge to most of the present field of ambiguity. Finally, the paper discusses how an alternative representation of ambiguity-averse preferences works to accommodate the Machina paradoxes and what drives the results. (JEL D81)

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