The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.
A Simple Axiomatization of Nonadditive Expected Utility
Abstract
This paper provides an extension of Savage's subjective expected utility theory for decisions under uncertainty. It includes in the set of events both unambiguous events for which probabilities are additive as well as ambiguous events for which probabilities are permitted to be nonadditive. The main axiom is cumulative dominance which adapts stochastic dominance to decision making under uncertainty. We derive a Choquet expected utility representation and show that a modification of cumulative dominance leads to the classical expected utility representation. The relationship of our approach with that of Schmeidler who uses a two-stage formulation to derive Choquet expected utility is also explored.
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Citations
Cites
“Risk, Ambiguity, and the Savage Axioms.”
Ellsberg, D. (1961) · The Quarterly Journal of Economics · doi:10.2307/1884324 · Cited by 7,891
Cited by
A Smooth Model of Decision Making under Ambiguity
Klibanoff, P., Marinacci, M., & Mukerji, S. (2005) · Econometrica · doi:10.1111/j.1468-0262.2005.00640.x · Cited by 1,882
A Smooth Model of Decision Making under Ambiguity
Klibanoff, P., Marinacci, M., & Mukerji, S. (2003) · SSRN Electronic Journal · doi:10.2139/ssrn.395600 · Cited by 434
Additive representations of non-additive measures and the choquet integral
Gilboa, I., & Schmeidler, D. (1994) · Annals of Operations Research · doi:10.1007/bf02032160 · Cited by 280
Metadata
- Authors
- Sarin, R., & Wakker, P.
- Venue
- Econometrica
- Publisher
- JSTOR
- Published
- 1992-11
- Volume
- 60
- Issue
- 6
- Pages
- 1255
- ISSN
- 0012-9682 (ISSN-L)
- OpenAlex
- W2099406597
- Cited by
- 227
- References
- 1
- FWCI
- 4.21
- Type
- journal article
- Language
- en
- Open access
- closed
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- Sarin, R., & Wakker, P. (1992). A Simple Axiomatization of Nonadditive Expected Utility. Econometrica. https://doi.org/10.2307/2951521
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