Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/221515
Authors: 
Kilbanoff, Peter
Year of Publication: 
1996
Series/Report no.: 
Discussion Paper No. 1159
Abstract: 
Uncertainty aversion is often modelled as (strict) quasi-concavity of preferences over uncertain acts. A theory of uncertainty aversion may be characterized by the pairs of acts for which strict preference for a mixture between them is permitted. This paper provides such a characterization for two leading representations of uncertainty averse preferences; those of Schmeidler [20] (Choquet expected utility) and of Gilboa and Schmeidler [13] (maxmin expected utility with a non-unique prior). This characterization clarifies the relation between the two theories.
Document Type: 
Working Paper

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