Debreu proposed the notion of 'least concave utility' as a way to disentangle risk attitudes from the certainty preferences embedded in a vonNeumann Morgenstern index. This paper studies preferences under uncertainty, as opposed to risk, and examines a corresponding decomposition of preference. The analysis is carried out within the Choquet expected utility model of preference and is centered on the notion of a least convex capacity.

Ambiguity, Capacity, Choquet expected utility, Convex capacity, Non-additive probability, Risk aversion, Uncertainty, Uncertainty aversion
Economic Theory
Department of Economics

Epstein, L.G. (Larry G.), & Zhang, J. (1999). Least convex capacities. Economic Theory, 13(2), 263–286. doi:10.1007/s001990050254