Maxmin Expected Utility on a Subjective State Space: Convex Preferences under Risk JOB MARKET PAPER

We study convex preferences over lotteries and over menus of lotteries. We consider a set of consequences C and we characterize complete, transitive, and convex binary relations over lotteries on the set C. We prove that convex preferences correspond to a decision criterion in which the Decision Maker reveals pessimism and a lack of con…dence in the evaluation of consequences or his future tastes. We show in a context of choice over menus of lotteries how convex preferences translate into Maxmin Expected Utility on a Subjective State Space. Finally, we show how convex preferences can be interpreted as a cautious criterion of completion. JEL classi…cation: D81

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