Simple Characterization of the Hurwicz Criterium under Uncertainty

Alain Chateauneuf (1, 2, 3) , Caroline Ventura (1) , Vassili Vergopoulos (1, 2)

1 CES - Centre d'économie de la Sorbonne
2 PSE - Paris School of Economics
3 IPAG Business School

Schmeidler [1986], [1989] famously used his nonadditive probability model to describe a decision-maker’s uncertainty aversion and/or uncertainty loving. This short note illustrates how nonadditive probability can also be used to obtain a simple characterization of the Hurwicz criterium, where the decision-maker has a balanced attitude towards uncertainty, intermediate between full aversion and full loving.

Mots clés: schmeidler's model; Hurwicz criterium; Aversion and attraction with respect to uncertainty

Domaines: Economies et finances

Alain Chateauneuf, Caroline Ventura, Vassili Vergopoulos. Simple Characterization of the Hurwicz Criterium under Uncertainty. Revue Economique, 2020, Special issue dedicated to David Schmeidler, 71 (2), pp.331-336. ⟨10.3917/reco.712.033⟩. ⟨hal-02974245⟩