Decision under risk: The classical Expected Utility model

Alain Chateauneuf (), Michèle D Cohen () and Jean-Marc Tallon ()
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Alain Chateauneuf: CES - Centre d'économie de la Sorbonne - CNRS : UMR8174 - Université Panthéon-Sorbonne - Paris I, EEP-PSE - Ecole d'Économie de Paris - Paris School of Economics - Ecole d'Économie de Paris

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Abstract: This chapter of a collective book aims at presenting the basics of decision making under risk. We first define notions of risk and increasing risk and recall definitions and classifications (that are valid independently of any representation) of behavior under risk. We then review the classical model of expected utility due to von Neumann and Morgenstern andd its main properties. Issues raised by this model are then discussed and two models generalizing the expected utility model are briefly discussed.

Keywords: Risk; risk aversion; expected utility; von Neumann and Morgenstern; Allais paradox. (search for similar items in EconPapers)
Date: 2008-12
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Working Paper: Decision under risk: The classical Expected Utility model (2008)
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Persistent link: http://EconPapers.repec.org/RePEc:hal:cesptp:halshs-00348814_v1

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