Time and No Lotteries: An Axiomatization of Maxmin Expected Utility

Asen Kochov

26 citations0/0 files storedEconometrica

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Decision-Making and Behavioral Economics Financial Literacy, Pension, Retirement Analysis Economic theories and models

Abstract

This paper axiomatizes an intertemporal version of the maxmin expected-utility model. It employs two axioms specific to a dynamic setting. The first requires that smoothing consumption across states of the world is more beneficial to the individual than smoothing consumption across time. Such behavior is viewed as the intertemporal manifestation of ambiguity aversion. The second axiom extends Koopmans' notion of stationarity from deterministic to stochastic environments.

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References

1961Risk, Ambiguity, and the Savage Axioms 1989Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework 1989Maxmin expected utility with non-unique prior 2004Subjective probability and expected utility without additivity 1978Temporal Resolution of Uncertainty and Dynamic Choice Theory 1960MATHEMATICAL METHODS IN THE SOCIAL SCIENCES, 1959 1960Stationary Ordinal Utility and Impatience 2001Robust Control and Model Uncertainty

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2015A Behavioral Definition of Unforeseen Contingencies 2021Ambiguity aversion: bibliometric analysis and literature review of the last 60 years 2022Choquet expected discounted utility 2019Ambiguity and endogenous discounting 2018Dynamic Quantile Preferences 2023Recursive Preferences, Correlation Aversion, and the Temporal Resolution of Uncertainty

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