Characterizing uncertainty aversion through preference for mixtures

Peter Klibanoff*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

17 Scopus citations


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 [24] (Choquet expected utility or CEU) and of Gilboa and Schmeidler [16] (maxmin expected utility with a non-unique prior or MMEU). This characterization clarifies the relation between the two theories.

Original languageEnglish (US)
Pages (from-to)289-301
Number of pages13
JournalSocial Choice and Welfare
Issue number2
StatePublished - Jan 1 2001

ASJC Scopus subject areas

  • Social Sciences (miscellaneous)
  • Economics and Econometrics


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