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American Economic Review: Vol. 99 No. 1 (March 2009)

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Risk, Ambiguity, and the Rank-Dependence Axioms

Article Citation

Machina, Mark J. 2009. "Risk, Ambiguity, and the Rank-Dependence Axioms." American Economic Review, 99(1): 385-92.

DOI: 10.1257/aer.99.1.385

Abstract

Choice problems in the spirit of Ellsberg (1961) suggest that rank-dependent ("Choquet expected utility") preferences over subjective gambles might be subject to the same difficulties that Ellsberg's earlier examples posed for subjective expected utility. These difficulties stem from event-separability properties that rank-dependent preferences partially retain from expected utility, and suggest that nonseparable models of preferences might be better at capturing features of behavior that lead to these paradoxes. (JEL D81)

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Machina, Mark J. (U CA, San Diego)

JEL Classifications

D81: Criteria for Decision-Making under Risk and Uncertainty


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