Expected Utility with Purely Subjective Non-Additive Probabilities

Itzhak Gilboa

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Abstract: Acts are functions from the set of states of the world into the set of consequences. Savage proposed axioms regarding a binary relation on the set of acts which are necessary and sufficient for it to be representable by the functional ʃu(*)dP for some real-valued (utility) function u on the set of consequences and a (probability) measure P on the set of states of the world. The Ellsberg paradox leads us to reject one of Savage's main axioms - the Sure Thing Principle - and develop a more general theory, in which the probability measure need not be additive.

Keywords: Expected Utility; Subjective; Non-Additive Probabilities (search for similar items in EconPapers)
Date: 1987
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Published in Journal of Mathematical Economics, 1987, vol. 16, pp. 65-88. ⟨10.1016/0304-4068(87)90022-X⟩

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Related works:
Journal Article: Expected utility with purely subjective non-additive probabilities (1987)
Working Paper: Expected Utility with Purely Subjective Non-Additive Probabilities (1985)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00756291

DOI: 10.1016/0304-4068(87)90022-X

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