Stochastic Dominance Implies the Equality (Choquet-Expected Utility = Anticipated Utility)

摘要

The aim of the paper is to convince the reader that Choquet-expected utility, as initiated by Schmeidler for decision making under uncertainty, when formulated for decision making under risk naturally leads to Yaari's anticipated utility. Thus the two generalizations of expected utility in fact are one. Through the observation, techniques from Choquet-expected utility can be used to generalize results for anticipated utility. Primarily the main virtue of anticipated utility, allowing for a separate treatment of attitudes towards risk and attitudes towards wealth, can now be reflected through separate axiomatizations of these attitudes.