Expected Utility under Uncertainty

An uncertain and not just risky situation may be modeled using so-called belief functions assigning lower probabilities to events, that is, to sets of possible outcomes. In this paper we introduce an axiom of consistency by which we extend the von Neumann-Morgenstern expected utility theory to belief functions. We use this theory to characterize uncertainty neutrality and two different degrees of uncertainty aversion.

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Authors:	Hendon, Ebbe ; Jacobsen, Hans Jørgen ; Sloth, Birgitte ; Tranæs, Torben
Institutions:	Økonomisk Institut, Københavns Universitet
Subject:	uncertainty \| belief functions \| expected utility theory \| consistency

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Series:	Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	Number 92-09 26 pages
Classification:	D81 - Criteria for Decision-Making under Risk and Uncertainty
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005749591