Subjective Expected Utility Through Stochastic Independence

Michel Grabisch, Benjamin Monet and Vassili Vergopoulos ()
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Benjamin Monet: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique
Vassili Vergopoulos: LEMMA - Laboratoire d'économie mathématique et de microéconomie appliquée - Université Paris-Panthéon-Assas

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Abstract: This paper studies decision-making in the face of two stochastically independent sources of uncertainty. It characterizes axiomatically a Subjective Expected Utility representation of preferences where subjective beliefs consist of a product probability measure. The two key axioms in this characterization both involve some behavioral notions of stochastic independence. Our result can be understood as a purely subjective version of the Anscombe and Aumann (1963) theorem that avoids the controversial use of exogenous probabilities by appealing to stochastic independence. We also obtain an extension to Choquet Expected Utility representations.

Keywords: subjective probability; expected utility; stochastic independence; subjective independence; capacity; Choquet expectation. (search for similar items in EconPapers)
Date: 2023
New Economics Papers: this item is included in nep-mic and nep-upt
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-03901731v1
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Published in Economic Theory, 2023, 76, pp.723-757. ⟨10.1007/s00199-022-01476-8⟩

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Related works:
Journal Article: Subjective expected utility through stochastic independence (2023)
Working Paper: Subjective Expected Utility Through Stochastic Independence (2023)
Working Paper: Subjective Expected Utility Through Stochastic Independence (2023)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:pseptp:halshs-03901731

DOI: 10.1007/s00199-022-01476-8

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