Random sets lotteries and decision theory

Marc-Arthur Diaye () and Gleb Koshevoy
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Marc-Arthur Diaye: EPEE - Centre d'Etudes des Politiques Economiques - UEVE - Université d'Évry-Val-d'Essonne

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Abstract: We apply random sets theory to decision making under risk. This leads to a unifying concept which is compatible with some types of behavior like the Choquet Expected Utility and MaxMin Expected Utility. We show that the "expected utility" of a random set lottery is easy to calculate. Hence a decision making model with random sets is actually very tractable. © 2014 Elsevier Inc.

Keywords: Aumann integrals; Expected utility; Knightian decision maker; Random sets (search for similar items in EconPapers)
Date: 2014-08
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Published in Journal of Mathematical Psychology, 2014, 61, pp.14-18. ⟨10.1016/j.jmp.2014.07.001⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-02877968

DOI: 10.1016/j.jmp.2014.07.001

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