Utility-Level-Dependent Ambiguity

📅 2026-09-10
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🤖 AI Summary
本文探讨了决策情境下模糊性敏感选择的变化,通过引入依赖于确定性等价值水平的模糊权重方法来解决这一问题。
📝 Abstract
Experimental evidence suggests that ambiguity-sensitive choice can vary systematically with the circumstances of a decision. This paper isolates one channel within a stable preference relation: ambiguity weighting may depend on the act's certainty-equivalent level. After the standard Anscombe-Aumann calibration of consequence utility, a set of behavioral axioms yields a unique continuous family of normalized monotone capacities $\{ν_v\}_{v\in(0,1)}$. Each nonendpoint act is evaluated by the Choquet integral associated with the capacity at its own interior certainty-equivalent level, while nonendpoint acts on the same indifference surface share the same capacity. Binary event comparisons identify local event weights at each elicited level and trace their cross-level variation, providing tests of the fixed-capacity restriction. Local uncertainty aversion is equivalent to convexity of $ν_v$ and yields an implicit multiple-priors representation with certainty-equivalent-indexed local cores. Certainty translation invariance holds if and only if the capacity is fixed across levels, recovering the maintained nondegenerate fixed-capacity Choquet expected utility benchmark; global mixture-betweenness yields implicit additive utility, and imposing both restrictions recovers full-support subjective expected utility. The capacity schedule is a reduced-form ambiguity weighting whose variation may reflect changes in ambiguity perception, ambiguity attitude, or both.
Problem

Research questions and friction points this paper is trying to address.

ambiguity
decision-making
certainty-equivalent level
capacity
Innovation

Methods, ideas, or system contributions that make the work stand out.

ambiguity weighting
certainty-equivalent level
normalized monotone capacities
Choquet integral
fixed-capacity restriction
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K
Kemal Ozbek
Department of Economics, University of Southampton, University Road, Southampton, S017 1BJ, United Kingdom