Under stochastic dominance Choquet-expected utility and anticipated utility are identical |
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| Authors: | Peter Wakker |
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| Affiliation: | (1) University of Nijmegen, Nijmegen Institute for Cognition research and Information technology (NICI), Nijmegen, The Netherlands |
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| Abstract: | ![]()
The aim of this paper is to convince the reader that Choquet-expected utility, as initiated by Schmeidler (1982, 1989) for decision making under uncertainty, when formulated for decision making under risk naturally leads to anticipated utility, as initiated by Quiggin/Yaari. Thus the two generalizations of expected utility in fact are one. |
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| Keywords: | Nonadditive probabilities decision making under risk decision making under uncertainty prospect theory Choquet-expected utility anticipated utility rank-dependent utility cumulative utility comonotonicity |
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