We introduce Cautious Utility, a new model based on the idea that individuals are unsure of trade‐offs between goods and apply caution. The model yields an endowment effect, even when gains and losses are treated symmetrically. Moreover, it implies either loss aversion or loss neutrality for risk, but in a way unrelated to the endowment effect, and it captures the certainty effect, providing a novel unified explanation of all three phenomena. Cautious Utility can help organize empirical evidence, including some that directly contradicts leading alternatives.

Many violations of the Independence axiom of Expected Utility can be traced to subjects' attraction to risk-free prospects.Negative Certainty Independence, the key axiom in this paper, formalizes this tendency.Our main result is a utility representation of all preferences over monetary lotteries that satisfy Negative Certainty Independence together with basic rationality postulates.Such preferences can be represented as if the agent were unsure of how risk averse to be when evaluating a lottery p; instead, she has in mind a set of possible utility functions over outcomes and displays a cautious behavior: she computes the certainty equivalent of p with respect to each possible function in the set and picks the smallest one.The set of utilities is unique in a well-defined sense.We show that our representation can also be derived from a 'cautious' completion of an incomplete preference relation.

We investigate the classical Anscombe–Aumann model of decision-making under uncertainty without the completeness axiom. We distinguish between the dual traits of “indecisiveness in beliefs” and “indecisiveness in tastes.” The former is captured by the Knightian uncertainty model, the latter by the single-prior expected multi-utility model. We characterize axiomatically the latter model. Then we show that, under independence and continuity, these two models can be jointly characterized by means of a partial completeness property.

We study preferences over lotteries in which both the prize and the payment date are uncertain. In particular, a time lottery is one in which the prize is fixed but the date is random. With Expected Discounted Utility, individuals must be risk seeking over time lotteries (RSTL). In an incentivized experiment, however, we find that almost all subjects violate this property. Our main contributions are theoretical. We first show that within a very broad class of models, which includes many forms of nonexpected utility and time discounting, it is impossible to accommodate even a single violation of RSTL without also violating a property we termed Stochastic Impatience, a risky counterpart of standard Impatience. We then present two positive results. If one wishes to maintain Stochastic Impatience, violations of RSTL can be accommodated by keeping Independence within periods while relaxing it across periods. If, instead, one is willing to forego Stochastic Impatience, violations of RSTL can be accommodated with a simple generalization of Expected Discounted Utility, obtained by imposing only the behavioral postulates of Discounted Utility and Expected Utility.