Relative concave utility for risk and ambiguity

DOI10.1016/j.geb.2012.01.006zbMath1242.91064OpenAlexW1994649370WikidataQ58165874 ScholiaQ58165874MaRDI QIDQ423712

Peter P. Wakker, Aurélien Baillon, Bram Driesen

Publication date: 4 June 2012

Published in: Games and Economic Behavior (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.geb.2012.01.006

zbMATH Keywords

subjective probabilitynonexpected utilityKnightian uncertaintymore ambiguity aversemore risk averse

Mathematics Subject Classification ID

Utility theory (91B16) Utility theory for games (91A30)

Related Items (8)

Introduction to the special issue in honor of Peter Wakker ⋮ A powerful tool for analyzing concave/convex utility and weighting functions ⋮ Source and rank-dependent utility ⋮ Comparing uncertainty aversion towards different sources ⋮ A belief-based definition of ambiguity aversion ⋮ Discrete Arrow-Pratt indexes for risk and uncertainty ⋮ A revealed reference point for prospect theory ⋮ An extension of quasi-hyperbolic discounting to continuous time

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Diversification, convex preferences and non-empty core in the Choquet expected utility model.
• A simplified axiomatic approach to ambiguity aversion
• Subjective recursive expected utility
• The shape of incomplete preferences
• A theory of subjective compound lotteries
• Recursive smooth ambiguity preferences
• Expected utility with purely subjective non-additive probabilities
• Maxmin expected utility with non-unique prior
• Temporal von Neumann-Morgenstern and induced preferences
• Discount-neutral utility models for denumerable time streams
• Independence, additivity, uncertainty. With contributions by Birgit Grodal
• Risk, Ambiguity, and the Savage Axioms
• A Paradox for the Smooth Ambiguity Model of Preference
• Axiomatic Foundations of Multiplier Preferences
• Ambiguity and Second-Order Belief
• Value Functions for Infinite-Period Planning
• Subjective Probability and Expected Utility without Additivity
• A More Robust Definition of Subjective Probability
• Temporal Resolution of Uncertainty and Dynamic Choice Theory
• Prospect Theory: An Analysis of Decision under Risk
• A Smooth Model of Decision Making under Ambiguity
• Ellsberg Revisited: An Experimental Study
• A Subjective Spin on Roulette Wheels
• Preference Foundations for Nonexpected Utility: A Generalized and Simplified Technique
• A Definition of Subjective Probability
• Le Comportement de l'Homme Rationnel devant le Risque: Critique des Postulats et Axiomes de l'Ecole Americaine
• Additively decomposed quasiconvex functions

This page was built for publication: Relative concave utility for risk and ambiguity