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Choice under uncertainty with the best and worst in mind: Neo-additive capacities

Chateauneuf, Alain; Eichberger, Jürgen; Grant, Simon


We develop the simplest generalization of subjective expected utility that can accommodate both optimistic and pessimistic attitudes towards uncertainty—Choquet expected utility with non-extreme-outcome-additive (neo-additive) capacities.A neo-additive capacity can be expressed as the convex combination of a probability and a special capacity, we refer to as a Hurwicz capacity, that only distinguishes between whether an event is impossible, possible or certain. We show that neo-additive...[Show more]

CollectionsANU Research Publications
Date published: 2007
Type: Journal article
Source: Journal of Economic Theory
DOI: 10.1016/j.jet.2007.01.017


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