Under stochastic dominance Choquet-expected utility and anticipated utility are identical
September 1990
Article
volume 29, issue 2 pp 119-132.
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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
- prospect theory
- decision making under risk
- rank-dependent utility
- comonotonicity
- decision making under uncertainty
- Choquet-expected utility
- anticipated utility
- cumulative utility
- nonadditive probabilities
Automatically Extracted Terms
- probability
- utility
- distribution
- state
- decision
- wakker
- probability distributions
- dominance
- consequence
- measure
- theory
- state space
- probability distribution
- function
- space
- probability measure p
- decision maker
- additive
- set-up
- assumption
