TY - JOUR

T1 - An axiomatic approach to ε -contamination

AU - Nishimura, Kiyohiko G.

AU - Ozaki, Hiroyuki

PY - 2006/2/1

Y1 - 2006/2/1

N2 - 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.

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.

KW - Choquet expected utility

KW - Representation theorem

KW - ε-contamination

UR - http://www.scopus.com/inward/record.url?scp=18144423188&partnerID=8YFLogxK

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U2 - 10.1007/s00199-004-0584-3

DO - 10.1007/s00199-004-0584-3

M3 - Article

AN - SCOPUS:18144423188

SN - 0938-2259

VL - 27

SP - 333

EP - 340

JO - Economic Theory

JF - Economic Theory

IS - 2

ER -