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  (Choquet expected utility or CEU) and of Gilboa and Schmeidler  (maxmin expected utility with a non-unique prior or MMEU). This characterization clarifies the relation between the two theories.
ASJC Scopus subject areas
- Social Sciences (miscellaneous)
- Economics and Econometrics