Abstract

Suppose that an economic agent is \((1-\varepsilon) \times\)100% certain that uncertainty she faces is characterized by a particular probability measure, but that she has a fear that, with \(\varepsilon \times\)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 “\(\varepsilon\)-contamination of confidence.” 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 \(\varepsilon\)-contamination of confidence.

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