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Beyond Earthquakes: The New Directions of Expected Utility Theory

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Author Info
Felipe Zurita () (Instituto de Economía. Pontificia Universidad Católica de Chile.)

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Abstract

Over the past two decades, an enormous amount of work has been done to improve the Expected Utility model. Two areas have attracted major attention: the possibility of describing unforeseen contingencies and the need to accomodate the kind of behavior referred to in Ellsberg's paradox. This article critically assesses the Expected Utility model and its interpretations, as well as the basic principles underlying the referred extensions, with an emphasis on their applications.

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Publisher Info
Article provided by Instituto de Economía. Pontificia Universidad Católica de Chile. in its journal Cuadernos de Economía.

Volume (Year): 42 (2005)
Issue (Month): 126 ()
Pages: 209-255
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Handle: RePEc:ioe:cuadec:v:42:y:2005:i:126:p:209-255

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Related research
Keywords: Ambiguity; Unawareness; Unforeseen Contingencies; Expected Utility;

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Find related papers by JEL classification:
D01 - Microeconomics - - General - - - Microeconomic Behavior: Underlying Principles
D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search, Learning, and Information

References listed on IDEAS
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  1. Eichberger, Jürgen & Kelsey, David & Schipper, Burkhard, 2003. "Ambiguity and Social Interaction," Sonderforschungsbereich 504 Publications 03-30, Sonderforschungsbereich 504, Universität Mannheim & Sonderforschungsbereich 504, University of Mannheim. [Downloadable!]
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  2. Maskin, Eric & Tirole, Jean, 1999. "Unforeseen Contingencies and Incomplete Contracts," Review of Economic Studies, Blackwell Publishing, vol. 66(1), pages 83-114, January. [Downloadable!] (restricted)
  3. Drew Fudenberg & David K Levine, 2005. "Learning and Belief-Based Trade," Cuadernos de Economía (Latin American Journal of Economics), Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 42(126), pages 199-208. [Downloadable!]
  4. Dow, James & Werlang, Sergio Ribeiro da Costa, 1992. "Uncertainty Aversion, Risk Aversion, and the Optimal Choice of Portfolio," Econometrica, Econometric Society, vol. 60(1), pages 197-204, January. [Downloadable!] (restricted)
  5. Grossman, Sanford J & Stiglitz, Joseph E, 1980. "On the Impossibility of Informationally Efficient Markets," American Economic Review, American Economic Association, vol. 70(3), pages 393-408, June.
  6. Epstein, Larry G. & Schneider, Martin, 2003. "Recursive multiple-priors," Journal of Economic Theory, Elsevier, vol. 113(1), pages 1-31, November. [Downloadable!] (restricted)
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  7. Robert J. Aumann, 1998. "Common Priors: A Reply to Gul," Econometrica, Econometric Society, vol. 66(4), pages 929-938, July.
  8. Hart, Oliver D & Moore, John, 1988. "Incomplete Contracts and Renegotiation," Econometrica, Econometric Society, vol. 56(4), pages 755-85, July. [Downloadable!] (restricted)
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  9. Robert J. Aumann, 1999. "Interactive epistemology II: Probability," International Journal of Game Theory, Springer, vol. 28(3), pages 301-314. [Downloadable!] (restricted)
  10. Arrow, Kenneth J. & Hahn, Frank, 1999. "Notes on Sequence Economies, Transaction Costs, and Uncertainty," Journal of Economic Theory, Elsevier, vol. 86(2), pages 203-218, June. [Downloadable!] (restricted)
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  12. Dekel, Eddie & Lipman, Barton L. & Rustichini, Aldo, 1998. "Recent developments in modeling unforeseen contingencies," European Economic Review, Elsevier, vol. 42(3-5), pages 523-542, May. [Downloadable!] (restricted)
  13. Faruk Gul, 1998. "A Comment on Aumann's Bayesian View," Econometrica, Econometric Society, vol. 66(4), pages 923-928, July.
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  15. Milgrom, Paul & Stokey, Nancy, 1982. "Information, trade and common knowledge," Journal of Economic Theory, Elsevier, vol. 26(1), pages 17-27, February. [Downloadable!] (restricted)
    Other versions:
  16. Franklin Allen & Douglas Gale, . "Optimal Security Design," Rodney L. White Center for Financial Research Working Papers 26-87, Wharton School Rodney L. White Center for Financial Research.
    Other versions:
  17. Schmeidler, David, 1989. "Subjective Probability and Expected Utility without Additivity," Econometrica, Econometric Society, vol. 57(3), pages 571-87, May. [Downloadable!] (restricted)
  18. John Geanakoplos, 1989. "Game Theory Without Partitions, and Applications to Speculation and Consensus," Cowles Foundation Discussion Papers 914, Cowles Foundation, Yale University. [Downloadable!]
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  21. Eddie Dekel & Barton L. Lipman & Aldo Rustichini, 1998. "Standard State-Space Models Preclude Unawareness," Econometrica, Econometric Society, vol. 66(1), pages 159-174, January.
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