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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Journal of Mathematical Economics, Elsevier, 1987, vol. 16, pp. 65-88. 〈10.1016/0304-4068(87)90022-X〉
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Soumis le : jeudi 22 novembre 2012 - 16:56:29
Dernière modification le : jeudi 22 novembre 2012 - 16:59:22

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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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