Choquet expected discounted utility

B-Tier
Journal: Economic Theory
Year: 2023
Volume: 75
Issue: 4
Pages: 1071-1098

Authors (2)

Lorenzo Bastianello (not in RePEc) José Heleno Faro (Insper)

Score contribution per author:

1.005 = (α=2.01 / 2 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

Abstract We study intertemporal decision making under uncertainty in a purely subjective framework. The concept of stationarity, introduced by Koopmans for deterministic discounted utility, is naturally extended to a framework with uncertainty and plays a central role for both attitudes towards time and uncertainty. We show that a strong stationarity axiom characterizes discounted expected utility. When considerations about correlations across time between uncertain outcomes are taken into account, a weaker stationarity axiom generalizes discounted expected utility to Choquet expected discounted utility, allowing for non-neutral attitudes towards subjective uncertainty.

Technical Details

RePEc Handle
repec:spr:joecth:v:75:y:2023:i:4:d:10.1007_s00199-022-01438-0
Journal Field
Theory
Author Count
2
Added to Database
2026-01-25