A Simple Axiomatization of Neo-Additive Choquet Expected Utility Theory on a Finite State Space

Abstract

By assuming that a state space is finite, we provide an easy-to-understand axiomatization of neo-additive Choquet expected utility theory (CEU) following Chateauneuf et al. (2007). Our axiomatization based on Möbius inversions sheds new light on their usefulness for our understanding of the behaviors of decision makers and enables us to provide new interpretations for neo-additive CEU from uncertainty aversion (uncertainty lovingness) and certainty equivalent, respectively. Furthermore, our approach enables us to understand the relationship between existing contributions by Chateauneuf et al. (2007), Kajii et al. (2009), and Asano and Kojima (2022) in a clearer and more unified way.