Abstract
We propose a new class of utility functionals for decision making under uncertainty and ambiguity aversion, the class of Frechet mean preferences. Using a specific metrization of the space of probability measures in terms of the Monge-Wasserstein-Kantorovich metric, we derive explicit expressions of this class of utility functionals, revealing quantitative connections between the concepts of ambiguity or uncertainty aversion and risk aversion. Aside from their use in decision making under uncertainty the Frechet mean utility functionals can be used in the context of group decision making for the description of group preferences.
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