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Expected Utility with Purely Subjective Non-Additive Probabilities

Abstract : Acts are functions from the set of states of the world into the set of consequences. Savage proposed axioms regarding a binary relation on the set of acts which are necessary and sufficient for it to be representable by the functional ʃu(*)dP for some real-valued (utility) function u on the set of consequences and a (probability) measure P on the set of states of the world. The Ellsberg paradox leads us to reject one of Savage's main axioms - the Sure Thing Principle - and develop a more general theory, in which the probability measure need not be additive.
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Submitted on : Thursday, November 22, 2012 - 4:56:29 PM
Last modification on : Thursday, November 22, 2012 - 4:59:22 PM

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Itzhak Gilboa. Expected Utility with Purely Subjective Non-Additive Probabilities. Journal of Mathematical Economics, Elsevier, 1987, vol. 16, pp. 65-88. ⟨10.1016/0304-4068(87)90022-X⟩. ⟨hal-00756291⟩

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