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Coherent Decision Analysis with Inseparable Probabilities and Utilities

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Author Info
Nau, Robert F
Abstract

This article explores the extent to which a decisionmaker's probabilities can be measured separately from his/her utilities by observing his/her acceptance of small monetary gambles. Only a partial separation is achieved: the acceptable gambles are partitioned into a set of "belief gambles," which reveals probabilities distorted by marginal utilities for money, and a set of "preference gambles," which reveals utilities reciprocally distorted by marginal utilities for money. However, the information in these gambles still enables us to solve the decisionmaker's problem: his/her utility-maximizing decision is the one that avoids arbitrage (i.e., incoherence or Dutch books). Copyright 1995 by Kluwer Academic Publishers

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Publisher Info
Article provided by Springer in its journal Journal of Risk and Uncertainty.

Volume (Year): 10 (1995)
Issue (Month): 1 (January)
Pages: 71-91
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Handle: RePEc:kap:jrisku:v:10:y:1995:i:1:p:71-91

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  1. Robert Nau, 2001. "De Finetti was Right: Probability Does Not Exist," Theory and Decision, Springer, vol. 51(2), pages 89-124, December. [Downloadable!] (restricted)
  2. MacLaren, Donald, 1997. "Uncertainty Aversion and Technical Barriers to Trade: An Australian Example," 1995: Understanding Technical Barriers to Agricultural Trade Conference, December 1995, Tucson, Arizona 51388, International Agricultural Trade Research Consortium. [Downloadable!]
    Other versions:
  3. Edi Karni, 2007. "Bayesian Decision Theory and the Representation of Beliefs," Levine's Bibliography 321307000000000776, UCLA Department of Economics. [Downloadable!]
    Other versions:
  4. Edi Karni, 2009. "A Theory of Bayesian Decision Making," Economics Working Paper Archive 550, The Johns Hopkins University,Department of Economics. [Downloadable!]
  5. Christian Gollier, 2007. "Whom should we believe? Aggregation of heterogeneous beliefs," Journal of Risk and Uncertainty, Springer, vol. 35(2), pages 107-127, October. [Downloadable!] (restricted)
  6. Enrico Diecidue & Peter Wakker & Marcel Zeelenberg, 2007. "Eliciting decision weights by adapting de Finetti’s betting-odds method to prospect theory," Journal of Risk and Uncertainty, Springer, vol. 34(3), pages 179-199, June. [Downloadable!] (restricted)
  7. Enrico Diecidue & Dolchai La-ornual, 2009. "Reconciling support theory and the book-making principle," Journal of Risk and Uncertainty, Springer, vol. 38(3), pages 173-190, June. [Downloadable!] (restricted)
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