An axiomatic approach to ε -contamination

Kiyohiko G. Nishimura; Hiroyuki Ozaki

doi:10.1007/s00199-004-0584-3

An axiomatic approach to ε -contamination

Kiyohiko G. Nishimura, Hiroyuki Ozaki

Research output: Contribution to journal › Article › peer-review

36 Citations (Scopus)

Abstract

Suppose that an economic agent is (1-\varepsilon) \times 100% certain that uncertainty she faces is characterized by a particular probability measure, but that she has a fear that, with \varepsilon \times 100% chance, her conviction is completely wrong and she is left perfectly ignorant about the true measure in the present as well as in the future. This situation is often called " varepsilon -contamination of confidence." The purpose of this paper is to provide a simple set of behavioral axioms under which the decision-maker's preference is represented by the Choquet expected utility with the varepsilon -contamination of confidence.

Original language	English
Pages (from-to)	333-340
Number of pages	8
Journal	Economic Theory
Volume	27
Issue number	2
DOIs	https://doi.org/10.1007/s00199-004-0584-3
Publication status	Published - 2006 Feb 1
Externally published	Yes

Keywords

Choquet expected utility
Representation theorem
ε-contamination

ASJC Scopus subject areas

Economics and Econometrics

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10.1007/s00199-004-0584-3

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AB - Suppose that an economic agent is (1-\varepsilon) \times 100% certain that uncertainty she faces is characterized by a particular probability measure, but that she has a fear that, with \varepsilon \times 100% chance, her conviction is completely wrong and she is left perfectly ignorant about the true measure in the present as well as in the future. This situation is often called " varepsilon -contamination of confidence." The purpose of this paper is to provide a simple set of behavioral axioms under which the decision-maker's preference is represented by the Choquet expected utility with the varepsilon -contamination of confidence.

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An axiomatic approach to ε -contamination

Abstract

Keywords

ASJC Scopus subject areas

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