Least convex capacities

Debreu proposed the notion of `least concave utility' as a way to disentangle risk attitudes from the certainty preferences embedded in a von-Neumann Morgenstern index. This paper studies preferences under uncertainty, as opposed to risk, and examines a corresponding decomposition of preference. The analysis is carried out within the Choquet expected utility model of preference and is centered on the notion of a least convex capacity.Uncertainty · Uncertainty aversion · Choquet expected utility · Capacity · Convex capacity · Risk aversion · Ambiguity · Non-additive probability.