Random Expected Utility
AbstractWe develop and analyze a model of random choice and random expected utility. A decision problem is a finite set of lotteries that describe the feasible choices. A random choice rule associates with each decision problem a probability measure over choices. A random utility function is a probability measure over von Neumann-Morgenstern utility functions. We show that a random choice rule maximizes some random utility function if and only if it is mixture continuous, monotone (the probability that a lottery is chosen does not increase when other lotteries are added to the decision problem), extreme (lotteries that are not extreme points of the decision problem are chosen with probability 0), and linear (satisfies the independence axiom). Copyright The Econometric Society 2006.
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Bibliographic InfoPaper provided by David K. Levine in its series Princeton Economic Theory Working Papers with number 497768e9b9fc18361ac0810b33ef8396.
Date of creation: 02 May 2002
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