Access

You are not currently logged in.

Access your personal account or get JSTOR access through your library or other institution:

login

Log in to your personal account or through your institution.

If You Use a Screen Reader

This content is available through Read Online (Free) program, which relies on page scans. Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.

A Simple Axiomatization of Nonadditive Expected Utility

Rakesh Sarin and Peter Wakker
Econometrica
Vol. 60, No. 6 (Nov., 1992), pp. 1255-1272
Published by: The Econometric Society
DOI: 10.2307/2951521
Stable URL: http://www.jstor.org/stable/2951521
Page Count: 18
  • Read Online (Free)
  • Download ($10.00)
  • Subscribe ($19.50)
  • Cite this Item
Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
A Simple Axiomatization of Nonadditive Expected Utility
Preview not available

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 and 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. Our work may be viewed as a unification of Schmeidler (1989) and Gilboa (1987).

Page Thumbnails

  • Thumbnail: Page 
1255
    1255
  • Thumbnail: Page 
1256
    1256
  • Thumbnail: Page 
1257
    1257
  • Thumbnail: Page 
1258
    1258
  • Thumbnail: Page 
1259
    1259
  • Thumbnail: Page 
1260
    1260
  • Thumbnail: Page 
1261
    1261
  • Thumbnail: Page 
1262
    1262
  • Thumbnail: Page 
1263
    1263
  • Thumbnail: Page 
1264
    1264
  • Thumbnail: Page 
1265
    1265
  • Thumbnail: Page 
1266
    1266
  • Thumbnail: Page 
1267
    1267
  • Thumbnail: Page 
1268
    1268
  • Thumbnail: Page 
1269
    1269
  • Thumbnail: Page 
1270
    1270
  • Thumbnail: Page 
1271
    1271
  • Thumbnail: Page 
1272
    1272