Choquet Expected Utility with a Finite State Space: Commutativity and Act-Independence

Abstract

In this paper we establish the equivalence of act-independence and commutativity and the equivalence of comonotonic act-independence and comonotonic commutativity under mild conditions. As a result, using a theorem of Nakamura, we obtain an axiomatization of subjective expected utility and Choquet expected utility with a finite state space based on act-independence and comonotonic act-independence, respectively. Journal of Economic Literature Classification Number: D81.

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