Classical Subjective Expected Utility

Simone Cerreia-Vioglio, Fabio Maccheroni, Massimo Marinacci and Luigi Montrucchio

No 400, Working Papers from IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University

Abstract: We consider decision makers that know that payo¤ relevant observations are generated by a process that belongs to a given class M, as postulated in Wald [33]. We incorporate this Waldean piece of objective information within an otherwise subjective setting a la Savage [30] and show that this leads to a two-stages subjective expected utility model that accounts for both state and model uncertainty.

New Economics Papers: this item is included in nep-upt
Date: 2011
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