TIME AND NO LOTTERIES: AN AXIOMATIZATION OF MAXMIN EXPECTED UTILITY

This paper axiomatizes an intertemporal version of the maxmin expected-utility model. It employs two axioms specific to a dynamic setting. The first requires that smoothing consumption across states of the world is more beneficial to the individual than smoothing consumption across time. Such behavior is viewed as the intertemporal manifestation of ambiguity aversion. The second axiom extends Koopmans' notion of stationarity from deterministic to stochastic environments.