https://hal-hec.archives-ouvertes.fr/hal-00756291Gilboa, ItzhakItzhakGilboaTAU - Tel Aviv UniversityExpected Utility with Purely Subjective Non-Additive ProbabilitiesHAL CCSD1987Expected UtilitySubjectiveNon-Additive Probabilities[SHS.ECO.ECO] Humanities and Social Sciences/Economics and Finance/Economy and decision scienceHaldemann, Antoine2012-11-22 16:56:292023-01-05 20:12:092012-11-22 16:56:29enJournal articles10.1016/0304-4068(87)90022-X1Acts 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.