Subjective expected utility through stochastic independence

Michel Grabisch, Benjamin Monet () and Vassili Vergopoulos ()
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Benjamin Monet: Université Panthéon-Sorbonne
Vassili Vergopoulos: Université Panthéon-Assas

Economic Theory, 2023, vol. 76, issue 3, No 1, 723-757

Abstract: Abstract This paper studies decision-making in the face of two stochastically independent sources of uncertainty. It characterizes axiomatically a Subjective Expected Utility representation of preferences where subjective beliefs consist of a product probability measure. The two key axioms in this characterization both involve some behavioral notions of stochastic independence. Our result can be understood as a purely subjective version of the Anscombe and Aumann (Ann Math Stat 34:199–205, 1963) theorem that avoids the controversial use of exogenous probabilities by appealing to stochastic independence. We also obtain an extension to Choquet Expected Utility representations.

Keywords: Subjective probability; Expected utility; Stochastic independence; Subjective independence; Capacity; Choquet expectation (search for similar items in EconPapers)
JEL-codes: D81 (search for similar items in EconPapers)
Date: 2023
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Working Paper: Subjective Expected Utility Through Stochastic Independence (2023)
Working Paper: Subjective Expected Utility Through Stochastic Independence (2023)
Working Paper: Subjective Expected Utility Through Stochastic Independence (2023)
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DOI: 10.1007/s00199-022-01476-8

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