Risk, Ambiguity, and the Rank-Dependence Axioms
指出,秩依赖(Choquet期望效用)偏好可能面临与Ellsberg悖论类似的困难,源于其部分保留了期望效用的事件可分离性,暗示非可分离模型更能捕捉导致这些悖论的行为特征。
Choice problems in the spirit of Ellsberg (1961) suggest that rank-dependent (“Choquet expected utility”) preferences over subjective gambles might be subject to the same difficulties that Ellsberg's earlier examples posed for subjective expected utility. These difficulties stem from event-separability properties that rank-dependent preferences partially retain from expected utility, and suggest that nonseparable models of preferences might be better at capturing features of behavior that lead to these paradoxes.