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Decision under risk : The classical Expected Utility model

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Author Info
Alain Chateauneuf () (Paris School of Economics - Centre d'Economie de la Sorbonne)
Michèle Cohen () (Paris School of Economics - Centre d'Economie de la Sorbonne)
Jean-Marc Tallon () (Paris School of Economics - Centre d'Economie de la Sorbonne)

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Abstract

This chapter of a collective book aims at presenting the basics of decision making under risk. We first define notions of risk and increasing risk and recall definitions and classifications (that are valid independently of any representation) of behavior under risk. We then review the classical model of expected utility due to von Neumann and Morgenstern andd its main properties. Issues raised by this model are then discussed and two models generalizing the expected utility model are briefly discussed.

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File URL: ftp://mse.univ-paris1.fr/pub/mse/CES2008/V08085.pdf
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Publisher Info
Paper provided by Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne in its series Documents de travail du Centre d'Economie de la Sorbonne with number v08085.

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Length: 22 pages
Date of creation: Dec 2008
Date of revision:
Handle: RePEc:mse:cesdoc:v08085

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Web page: http://ces.univ-paris1.fr/
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Related research
Keywords: Risk; risk aversion; expected utility; von Neumann et Morgenstern; Allais Paradox.;

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Find related papers by JEL classification:
D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty

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This page was last updated on 2009-11-23.

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