Preferences over sets of lotteries 1

Wojciech Olszewski*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

62 Scopus citations


This paper studies a model in which in period 1, a decision-maker chooses a set of lotteries and in period 2, Nature chooses a lottery from the set chosen by the decision-maker and the decision-maker consumes the lottery chosen by Nature. Larger sets are interpreted as representing more ambiguous objective information about the lottery that will be consumed. The axioms imposed on preferences over sets of lotteries generalize those often imposed on preferences over single lotteries in the existing literature. A decision-maker who satisfies these axioms evaluates sets of lotteries according to a weighted average of the expected utilities of the best and the worst lottery in a set, with the weights interpreted as a measure of (comparative) attitude to objective ambiguity.

Original languageEnglish (US)
Pages (from-to)567-595
Number of pages29
JournalReview of Economic Studies
Issue number2
StatePublished - Apr 2007

ASJC Scopus subject areas

  • Economics and Econometrics

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