Expected Utility with Lower Probabilities
AbstractAn uncertain and not just risky situation may be modeled using so-called belief functions assigning lower probabilities to subsets of outcomes. In this article we extend the von Neumann-Morgenstern expected utility theory from probability measures to belief functions. We use this theory to characterize uncertainty neutrality and different degrees of uncertainty aversion. Coauthors are Hans Jorgen Jacobsen, Birgitte Sloth, and Torben Tranaes. Copyright 1994 by Kluwer Academic Publishers
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Bibliographic InfoArticle provided by Springer in its journal Journal of Risk and Uncertainty.
Volume (Year): 8 (1994)
Issue (Month): 2 (March)
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- : Ebbe Hendon & Hans Jørgen Jacobsen & Birgitte Sloth & Torben Tranæs, 1993.
"The Product of Capacities and Belief Functions,"
93-04, University of Copenhagen. Department of Economics.
- Ebbe Groes & Hans Jørgen Jacobsen & Birgitte Sloth & Torben Tranaes, 1998. "Nash Equilibrium with Lower Probabilities," Theory and Decision, Springer, vol. 44(1), pages 37-66, January.
- Philippe, Fabrice, 2000. "Cumulative prospect theory and imprecise risk," Mathematical Social Sciences, Elsevier, vol. 40(3), pages 237-263, November.
- Asheim, G.B. & Dufwenberg, M., 1996. "Admissibility and Common Knowledge," Discussion Paper 1996-16, Tilburg University, Center for Economic Research.
- Fredrik Andersson, 1999. "Uncertainty aversion in a simple insurance model," Finnish Economic Papers, Finnish Economic Association, vol. 12(1), pages 16-27, Spring.
- Luca Rigotti & Matthew Ryan & Rhema Vaithianathan, 2011. "Optimism and firm formation," Economic Theory, Springer, vol. 46(1), pages 1-38, January.
- Klaus Nehring, 2000. "A Theory of Rational Choice under Ignorance," Theory and Decision, Springer, vol. 48(3), pages 205-240, May.
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