Least convex capacities

Debreu proposed the notion of 'least concave utility' as a way to disentang le risk attitudes from the certainty preferences embedded in a von-Neumann Morgenstern index. This paper studies preferences under uncertainty, as opp osed to risk, and examines a corresponding decomposition of preference. The analysis is carried out within the Choquet expected utility model of prefe rence and is centered on the notion of a least convex capacity.