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Risk, Ambiguity, and the Rank-Dependence Axioms

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Abstract:

Choice problems in the spirit of Ellsberg (1961) suggest that rank-dependent ("Choquet expected utility") preferences over subjective gambles might be subject to the same difficulties that Ellsberg's earlier examples posed for subjective expected utility. These difficulties stem from event-separability properties that rank-dependent preferences partially retain from expected utility, and suggest that nonseparable models of preferences might be better at capturing features of behavior that lead to these paradoxes.

Document Type: Research Article

DOI: http://dx.doi.org/10.1257/aer.99.1.385

Publication date: March 1, 2009

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