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Decision analysis using targets instead of utility functions

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Author Info
Robert Bordley
Marco LiCalzi

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Abstract

A common precept of decision analysis under uncertainty is the choice of an action which maximizes the expected value of a utility function. Savage's (1954) axioms for subjective expected utility provide a normative foundation for this principle of choice. This paper shows that the same set of axioms implies that one should select an action which maximizes the probability of meeting an uncertain target. This suggests a new perspective and an alternate target-based language for decision analysis. We explore the implications and the advantages of this target-based approach for both individual and group decision-making.

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Publisher Info
Article provided by Springer in its journal Decisions in Economics and Finance.

Volume (Year): 23 (2000)
Issue (Month): 1 ()
Pages: 53-74
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Handle: RePEc:spr:decfin:v:23:y:2000:i:1:p:53-74

Note: Received: 12 December 1999
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  1. Marco LiCalzi & Annamaria Sorato, 2003. "The Pearson system of utility functions," Game Theory and Information 0311002, EconWPA. [Downloadable!]
    Other versions:
  2. Erio Castagnoli & Marco LiCalzi, 2005. "Benchmarking real-valued acts," Microeconomics 0502001, EconWPA. [Downloadable!]
    Other versions:
  3. Ali E. Abbas & James E. Matheson, 2005. "Normative target-based decision making," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 26(6), pages 373-385. [Downloadable!]
  4. Marco LiCalzi, 2005. "A language for the construction of preferences under uncertainty," Game Theory and Information 0509002, EconWPA. [Downloadable!]
  5. Steven Haberman & Elena Vigna, 2002. "Optimal investment strategies and risk measures in defined contribution pension schemes," ICER Working Papers - Applied Mathematics Series 09-2002, ICER - International Centre for Economic Research. [Downloadable!]
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