TY - JOUR

T1 - Expected utility with purely subjective non-additive probabilities

AU - Gilboa, Itzhak

N1 - Funding Information:
*I wish to express my gratitude to Professor David Schmeidler, who introduced me to the subject. I am also grateful to Dr. Peter Wakker for his comments. Financial assistance from the Josef Buchman Fund and the use of typing facilities at the Foerder Institute for Economic Research are gratefully acknowledged.

PY - 1987

Y1 - 1987

N2 - Acts are functions from the set of states of the world into the set of consequences. Savage proposed axioms regarding a binary relation on the set of acts which are necessary and sufficient for it to be representable by the functional sh{phonetic}u(·)dP for some real-valued (utility) function u on the set of consequences and a (probability) measure P on the set of states of the world. The Ellsberg paradox leads us to reject one of Savage's main axioms - the Sure Thing Principle - and develop a more general theory, in which the probability measure need not be additive.

AB - Acts are functions from the set of states of the world into the set of consequences. Savage proposed axioms regarding a binary relation on the set of acts which are necessary and sufficient for it to be representable by the functional sh{phonetic}u(·)dP for some real-valued (utility) function u on the set of consequences and a (probability) measure P on the set of states of the world. The Ellsberg paradox leads us to reject one of Savage's main axioms - the Sure Thing Principle - and develop a more general theory, in which the probability measure need not be additive.

UR - http://www.scopus.com/inward/record.url?scp=0002560703&partnerID=8YFLogxK

U2 - 10.1016/0304-4068(87)90022-X

DO - 10.1016/0304-4068(87)90022-X

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AN - SCOPUS:0002560703

SN - 0304-4068

VL - 16

SP - 65

EP - 88

JO - Journal of Mathematical Economics

JF - Journal of Mathematical Economics

IS - 1

ER -