Abstract
The aim of this paper is to convince the reader that Choquet-expected utility, as initiated by Schmeidler (1982, 1989) for decision making under uncertainty, when formulated for decision making under risk naturally leads to anticipated utility, as initiated by Quiggin/Yaari. Thus the two generalizations of expected utility in fact are one.
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Wakker, P. Under stochastic dominance Choquet-expected utility and anticipated utility are identical. Theor Decis 29, 119–132 (1990). https://doi.org/10.1007/BF00126589
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DOI: https://doi.org/10.1007/BF00126589