"An Axiomatic Approach to Ã-contamination"

Kiyohiko Giichi Nishimura · Hiroyuki Ozaki

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Decision-Making and Behavioral Economics Probability and Statistical Research Risk and Portfolio Optimization

Abstract

Suppose that an economic agent is (1-A)~100% certain that uncertainty she faces is characterized by a particular probability measure, but that she has a fear that, with A~100% chance, her conviction is completely wrong and she is left perfectly ignorant about the true measure in the present as well as in the future.This situation is often called of con The purpose of this paper is to provide a simple set of behavioral axioms under which the decision-maker's preference is represented by the Choquet expected utility with the A-contamination of con dence.

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