Maxmin expected utility with additivity on unambiguous events

Xiangyu Qu (1)

1 CES - Centre d'économie de la Sorbonne

This paper provides a model of beliefs representation in which ambiguity and unambiguity are endogenously distinguished in the maxmin expected utility model of Gilboa and Schmeidler (1989). Specifically, I first extend it by getting a representation of beliefs such that the probabilistic beliefs over each ambiguous event are represented by a nondegenerate interval, while the ones over each unambiguous event are represented by a number. I then suggest a behavioral definition of ambiguity. It provides a choice theoretical foundation for the Knightian distinction between ambiguity and unambiguity.

Mots clés: Maxmin expected utility; Ambiguity; Unambiguous events

Domaines: Economies et finances

Xiangyu Qu. Maxmin expected utility with additivity on unambiguous events. Journal of Mathematical Economics, 2013, 49 (3), pp.245 - 249. ⟨10.1016/j.jmateco.2013.02.004⟩. ⟨hal-01437540⟩