A simplified approach to subjective expected utility

Lorenzo Stanca

Journal of Mathematical Economics, 2020, vol. 87, issue C, 151-160

Abstract: I provide a novel simplified approach to Savage’s theory of subjective expected utility. Such an approach is based on abstract integral representation theorems in the space of measurable functions. The advantage of such an approach is that these results can be used to easily obtain variations on Savage’s theorem, such as representations with state-dependent utility or probability measures that can have atoms. Finally, I discuss how such an approach can be used in other settings such as decision making under ambiguity.

Keywords: Subjective expected utility; Countable additivity; Sure-thing principle (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:mateco:v:87:y:2020:i:c:p:151-160

DOI: 10.1016/j.jmateco.2020.01.007

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