Decision under Uncertainty: the Classical Models

Alain Chateauneuf, Michèle Cohen and Jean-Yves Jaffray

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Abstract: This chapiter of a collective book is dedicated to classical decision models under uncertainty, i.e. under situations where events do not have "objective" probabilities with which the Decision Marker agrees. We present successively the two main theories, their axiomatic, the interpretation and the justification of their axioms and their main properties : first, the general model of Subjective Expected Utility due to Savage (Savage, 1954), second, the Anscombe-Aumann (1963) theory, in a different framework. Both theories enforce the universal use of a probabilistic representation. We then discuss this issue in connection with the experimental result known as the Ellsberg paradox.

Keywords: Ellsberg paradox; Uncertainty; subjective probability; Subjective Expected Utility; Savage; Anscombe and Aumann; Anscombe et Aumann; Espérance d'Utilité Subjective; Incertain; probabilité subjective; paradoxe d'Ellsberg (search for similar items in EconPapers)
Date: 2008-12
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00348818v1
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Citations: View citations in EconPapers (2)

Published in 2008

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Related works:
Working Paper: Decision under Uncertainty: The Classical Models (2009)
Working Paper: Decision under Uncertainty: The Classical Models (2009)
Working Paper: Decision under Uncertainty: The Classical Models (2009)
Working Paper: Decision under Uncertainty: the Classical Models (2008)
Working Paper: Decision under uncertainty: the classical models (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00348818

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