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Decision under risk: The classical Expected Utility model

Alain Chateauneuf (), Michèle Cohen () and Jean-Marc Tallon ()
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Jean-Marc Tallon: CES - Centre d'économie de la Sorbonne - UP1 - Université Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, PSE - Paris School of Economics

Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL

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: Allais paradox; Risque; aversion pour le risque; espérance d'utilité; von Neumann et Morgenstern; paradoxe d'Allais.; Risk; risk aversion; expected utility; von Neumann and Morgenstern; Allais paradox. (search for similar items in EconPapers)
Date: 2008-12
Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00348814
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Published in 2008

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Related works:
Working Paper: Decision under Risk: The Classical Expected Utility Model (2009)
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