Decision under uncertainty: the classical models

Alain Chateauneuf, Michèle Cohen and Jean-Yves Jaffray

Documents de travail du Centre d'Economie de la Sorbonne from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne

Abstract: This chapiter of a collective book is dedicated to classical decision models under uncertainty, i.e. under situations where events do not have "objective" probabilities with which the Decision Marker agrees. We present successively the two main theories, their axiomatic, the interpretation and the justification of their axioms and their main properties: first, the general model of Subjective Expected Utility due to Savage (Savage, 1954), second, the Anscombe-Aumann (1963) theory, in a different framework. Both theories enforce the universal use of a probabilistic representation. We then discuss this issue in connection with the experimental result known as the Ellsberg paradox

Keywords: Uncertainty; subjective probability; subjective Expected Utility; savage; Anscombe and Aumann; Ellsberg paradox (search for similar items in EconPapers)
JEL-codes: D81 (search for similar items in EconPapers)
Pages: 19 pages
Date: 2008-12
New Economics Papers: this item is included in nep-cba and nep-upt
References: Add references at CitEc
Citations: View citations in EconPapers (2)

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ftp://mse.univ-paris1.fr/pub/mse/CES2008/V08086.pdf (application/pdf)

Related works:
Working Paper: Decision under Uncertainty: The Classical Models (2009)
Working Paper: Decision under Uncertainty: The Classical Models (2009)
Working Paper: Decision under Uncertainty: The Classical Models (2009)
Working Paper: Decision under Uncertainty: the Classical Models (2008)
Working Paper: Decision under Uncertainty: the Classical Models (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:mse:cesdoc:v08086

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