Under stochastic dominance Choquet-expected utility and anticipated utility are identical
The aim of this paper is to convince the reader that Choquet-expected utility, as initiated by Schmeidler (1982, 1989) for decision making under uncertainty, when formulated for decision making under risk naturally leads to anticipated utility, as initiated by Quiggin/Yaari. Thus the two generalizations of expected utility in fact are one.
|Keywords||Choquet-expected utility, anticipated utility, comonotonicity, cumulative utility, decision making under risk, decision making under uncertainty, nonadditive probabilities, prospect theory, rank-dependent utility|
|Persistent URL||dx.doi.org/10.1007/BF00126589, hdl.handle.net/1765/23222|
Wakker, P.P.. (1990). Under stochastic dominance Choquet-expected utility and anticipated utility are identical. Theory and Decision: an international journal for multidisciplinary advances in decision sciences, 29(2), 119–132. doi:10.1007/BF00126589