Sur une importante conjecture historique de Philippe Mongin. Réexamen de l’apport de Maurice Allais à la théorie de la décision face au risque

Bertrand Munier

Revue économique, 2022, vol. 73, issue 6, 921-941

Abstract: When revisiting the sources of modern risk theory, Philippe Mongin [2019] chose to reexamine Allais?s early writings in light of the discussions held at the Paris 1952 International Conference ?Fondements et Applications de la Théorie du Risque en Économétrie? (labeled ?Économétrie?). He conjectured that Allais? endeavor was in fact to establish, not only a counterexample to expected utility theory, but indeed a normative theory of decision under risk, based on a concept of rationality clearly departing from standard theory. This paper reviews the conjecture and Allais? lines of thought in risk theory and argues that several other arguments can be found to support Mongin?s conjecture. Interestingly, these arguments not only allow to launch a bridge between Maurice Allais? and Herbert Simon?s worlds, but they also call for a rebalancing of the credit too exclusively given to Tversky and Kahneman 1992?s celebrated article for the elaboration of modern decision theory under risk. While the extension of the model to the uncertainty case is undoubtedly to be credited to the latter authors, it appears that a series of Allais? writings should be credited for the genesis of the modern theory under risk properly defined, for the seminal ideas, but also for the main innovations. Special mention is to be made of a ?Mertonian? development independently worked out by John Quiggin and Maurice Allais himself in the 80s. Classification JEL: A12, B21, B31, C7, D81, D84.

Keywords: risk theory; rationality; Allais’ paradox; decision theory; positive and normative theory; Paris 1952 conference; Maurice Allais; Philippe Mongin; Amos Tversky and Daniel Kahneman; Herbert A. Simon (search for similar items in EconPapers)
JEL-codes: A12 B21 B31 C7 D81 D84 (search for similar items in EconPapers)
Date: 2022
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