Least Convex Capacities

Posted: 20 Apr 1999

See all articles by Larry G. Epstein

Larry G. Epstein

University of Rochester - Department of Economics

Jiankang Zhang

University of Rochester - Department of Economics

Abstract

Debreu proposed the notion of 'least concave utility' as a way to disentangle risk attitudes from the certainty preferences embedded in a von-Neumann Morgenstern index. This paper studies preferences under uncertainty, as opposed to risk, and examines a corresponding decomposition of preference. The analysis is carried out within the Choquet expected utility model of preference and is centered on the notion of a least convex capacity.

JEL Classification: C69, D81

Suggested Citation

Epstein, Larry and Zhang, Jiankang, Least Convex Capacities. Economic Theory, Vol. 13, Iss. 2, February 1999. Available at SSRN: https://ssrn.com/abstract=151459

Larry Epstein (Contact Author)

University of Rochester - Department of Economics ( email )

Harkness Hall
Rochester, NY 14627-0158
United States
585-275-4320 (Phone)

Jiankang Zhang

University of Rochester - Department of Economics

Harkness Hall
Rochester, NY 14627-0158
United States

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