On the confidence preferences model

In this paper we study the model of decision under uncertainty consistent with confidence preferences. In that model, a decision maker held beliefs represented by a fuzzy set of priors and tastes captured by a standard affine utility index on consequences. First, we find some interesting properties concerning the well-known maxmin expected utility model, taking into account the point of view of the confidence preferences model. Further, we provide new examples of preferences that capture ambiguity-averse attitudes weaker than ambiguity attitudes featured by maxmin expected utility theory. Finally, we discuss the axiomatic foundations for the confidence preferences model with optimistic behavior.

► In this paper we study ambiguity preferences consistent with the confidence preferences model. ► We show that the maximal confidence function of maxmin preferences is generated by the upper envelope of a family of maximal confidence functions of subjective expected utility preferences. ► We provide new examples of preferences that capture ambiguity-averse attitudes weaker than that captured by maxmin preferences. ► Finally, we propose an axiomatic foundation for ambiguity-loving confidence preferences.