Abstract |
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We provide a characterization of the consequences of the assumption that a decision maker with a given utility function is Choquet rational: She maximizes expected utility, but possibly with respect to non-additive beliefs, so that her preferences are represented by Choquet expected utility (CEU). The characterization shows that this notion of rationality allows in general
to rationalize more choices than it is possible when beliefs have to be additive. More surprisingly, we find that a considerable restriction on the types of beliefs allowed does not change the set of rational actions. We then remark on the relation between the predictions of CEU model, of a similar model (the maxmin expected utility model), and those of subjective expected utility when the risk attitude of the decision maker is not known. We close with an application of the result to the definition of a solution concept (in the spirit of rationalizability) for strategic-form games. |