Risk, Ambiguity, and the Rank-Dependence Axioms
American Economic Review · 2009 · Volume 99 · Issue 1
Abstract
Choice problems in the spirit of Ellsberg (1961) suggest that rank-dependent ("Choquet expected utility") preferences over subjective gambles might be subject to the same difficulties that Ellsberg's earlier examples posed for subjective expected utility. These difficulties stem from event-separability properties that rank-dependent preferences partially retain from expected utility, and suggest that nonseparable models of preferences might be better at capturing features of behavior that lead to these paradoxes. (JEL D81)
Keywords
Criteria for Decision-Making under Risk and Uncertainty
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