Maxmin under risk |
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Authors: | Fabio Maccheroni |
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Institution: | (1) Istituto di Metodi Quantitativi, Università Bocconi, viale Isonzo 25, 20135 Milano, ITALY (e-mail: fabio.maccheroni@uni-bocconi.it) , IT |
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Abstract: | Summary. Let be a continuous and convex weak order on the set of lotteries defined over a set Z of outcomes. Necessary and sufficient conditions are given to guarantee the existence of a set of utility functions defined on Z such that, for any lotteries p and q,
The interpretation is simple: a conservative decision maker has an unclear evaluation of the different outcomes when facing
lotteries. She then acts as if she were considering many expected utility evaluations and taking the worst one.
Received: January 19, 2000; revised version: December 20, 2000 |
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Keywords: | and Phrases: Expected utility Minimum expected utility Nonexpected utility |
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