Maxmin Expected Utility over Savage Acts with a Set of Priors

Ramon Casadesus-Masanell; Peter Klibanoff; Emre Ozdenoren

doi:10.1006/jeth.1999.2630

Maxmin Expected Utility over Savage Acts with a Set of Priors

Ramon Casadesus-Masanell^*, Peter Klibanoff, Emre Ozdenoren

^*Corresponding author for this work

Managerial Economics, Decision Sciences and Operations

Research output: Contribution to journal › Article › peer-review

73 Scopus citations

Abstract

This paper provides an axiomatic foundation for a maxmin expected utility over a set of priors (MMEU) decision rule in an environment where the elements of choice are Savage acts. This characterization complements the original axiomatization of MMEU developed in a lottery-acts (or Anscombe-Aumann) framework by I. Gilboa and D. Schmeidler (1989, J. Math. Econ.18, 141-153). MMEU preferences are of interest primarily because they provide a natural and tractable way of modeling decision makers who display an aversion to uncertainty or ambiguity. The novel axioms are formulated using standard sequence techniques, which allow cardinal properties of utility to be expressed directly through preferences. Journal of Economic Literature Classification Number: D81.

Original language	English (US)
Pages (from-to)	35-65
Number of pages	31
Journal	Journal of Economic Theory
Volume	92
Issue number	1
DOIs	https://doi.org/10.1006/jeth.1999.2630
State	Published - May 2000

Keywords

Uncertainty aversion; ambiguity; expected utility; set of priors; knightian uncertainty

ASJC Scopus subject areas

Economics and Econometrics

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10.1006/jeth.1999.2630

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Maxmin Expected Utility over Savage Acts with a Set of Priors

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