A Single-Stage Approach to Anscombe and Aumann's Expected Utility
AbstractF. J. Anscombe and R. J. Aumann (1963) showed that, if one accepts the existence of a physical randomizing device such as a roulette wheel, then L. J. Savage's derivation of subjective expected utility can be considerably simplified. They, however, invoked compound gambles to define their axioms. The authors demonstrate that the subjective expected utility derivation can be further simplified and need not invoke compound gambles. Their simplification is obtained by closely following the steps by which probabilities and utilities are elicited. Copyright 1997 by The Review of Economic Studies Limited.
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Bibliographic InfoArticle provided by Wiley Blackwell in its journal Review of Economic Studies.
Volume (Year): 64 (1997)
Issue (Month): 3 (July)
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Other versions of this item:
- Sarin, R. & Wakker, P.P., 1996. "A Single-Stage Approach to Anscombe and Aumann's Expected Utility," Discussion Paper 1996-45, Tilburg University, Center for Economic Research.
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
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