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Article dans une revue Economic Theory Année : 2023

Subjective Expected Utility Through Stochastic Independence

Résumé

This paper studies decision-making in the face of two stochastically independent sources of uncertainty. It characterizes axiomatically a Subjective Expected Utility representation of preferences where subjective beliefs consist of a product probability measure. The two key axioms in this characterization both involve some behavioral notions of stochastic independence. Our result can be understood as a purely subjective version of the Anscombe and Aumann (1963) theorem that avoids the controversial use of exogenous probabilities by appealing to stochastic independence. We also obtain an extension to Choquet Expected Utility representations.
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Dates et versions

halshs-03901731, version 1 (15-12-2022)

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Michel Grabisch, Benjamin Monet, Vassili Vergopoulos. Subjective Expected Utility Through Stochastic Independence. Economic Theory, In press, ⟨10.1007/s00199-022-01476-8⟩. ⟨halshs-03901731⟩
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