IDEAS home Printed from https://ideas.repec.org/a/prs/reveco/reco_0035-2764_1990_num_41_1_409193.html
   My bibliography  Save this article

La rénovation des fondements de l'utilité et du risque

Author

Listed:
  • Marc Willinger

Abstract

[eng] New foundations of uitlity and risk theory . . Expected utility theory is grounded on two questionable hypothesis which follow from the independence axion : 1) the weights of utilities are probabilities and 2) utilities of consequences are independent on their probabilities. Empirical refutations of the independence axiom entailed an examination of those hypothesis and a broadening of the definition of rationality in uncertain situations. It is now recognized that irrational behaviors with respect to expected utility theory might be considered as fully rational if we relax hypothesis 1 and 2. We present a critical survey of new theories of behavior under uncertainty, showing how they solve well-know paradoxes of expected utility theory and pointing out their limits. Our presentation insists on an important aspect for defining choice criteria under uncertainty, neglected until now, the modelling of beliefs. [fre] La rénovation des fondements de l'utilité et du risque. . La théorie de l'utilité espérée est fondée sur deux hypothèses restrictives qui découlent de l'axiome d'indépendance : 1) les pondérations des utilités sont des probabilités et 2) les utilités des conséquences ne dépendent pas de leurs probabilités. Les contradictions empiriques de l'axiome d'indépendance ont amené à une révision de ces hypothèses et à élargir le champ de la relationalité en incertain. Il est maintenant admis que des comportements qui sont jugés irrationnels du point de vue du critère de l'utilité espérée sont tout à fait rationnels lorsqu'on lève les hypothèses restrictives 1 et 2 ci-dessus. Nous proposons dans cet article une revue critique de ces nouvelles théories en montrant comment elles permettent d'assimiler certains paradoxes célèbres de la théorie de l'utilité espérée (A/lais, Ellsberg, etc.) et en mettant en évidence leurs limites. Notre présentation met en avant l'importance de la modélisation des croyances, négligée jusqu'à présent, pour la définition de critères de choix en incertain.

Suggested Citation

  • Marc Willinger, 1990. "La rénovation des fondements de l'utilité et du risque," Revue Économique, Programme National Persée, vol. 41(1), pages 5-48.
  • Handle: RePEc:prs:reveco:reco_0035-2764_1990_num_41_1_409193
    as

    Download full text from publisher

    File URL: https://www.persee.fr/doc/reco_0035-2764_1990_num_41_1_409193
    Download Restriction: Data and metadata provided by Persée are licensed under a Creative Commons "Attribution-Noncommercial-Share Alike 3.0" License http://creativecommons.org/licenses/by-nc-sa/3.0/
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Fishburn, Peter C., 1986. "A new model for decisions under uncertainty," Economics Letters, Elsevier, vol. 21(2), pages 127-130.
    2. Green, Jerry, 1987. ""Making book against oneself," the Independence Axiom, and Nonlinear Utility Theory," Scholarly Articles 3203640, Harvard University Department of Economics.
    3. John C. Hershey & Howard C. Kunreuther & Paul J. H. Schoemaker, 1982. "Sources of Bias in Assessment Procedures for Utility Functions," Management Science, INFORMS, vol. 28(8), pages 936-954, August.
    4. Yaari, Menahem E, 1987. "The Dual Theory of Choice under Risk," Econometrica, Econometric Society, vol. 55(1), pages 95-115, January.
    5. Segal, Uzi, 1987. "The Ellsberg Paradox and Risk Aversion: An Anticipated Utility Approach," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 28(1), pages 175-202, February.
    6. Chew, Soo Hong, 1983. "A Generalization of the Quasilinear Mean with Applications to the Measurement of Income Inequality and Decision Theory Resolving the Allais Paradox," Econometrica, Econometric Society, vol. 51(4), pages 1065-1092, July.
    7. Karni, Edi & Schmeidler, David, 1986. "Self-preservation as a foundation of rational behavior under risk," Journal of Economic Behavior & Organization, Elsevier, vol. 7(1), pages 71-81, March.
    8. Loomes, Graham & Sugden, Robert, 1982. "Regret Theory: An Alternative Theory of Rational Choice under Uncertainty," Economic Journal, Royal Economic Society, vol. 92(368), pages 805-824, December.
    9. Fishburn, P. C., 1984. "SSB utility theory and decision-making under uncertainty," Mathematical Social Sciences, Elsevier, vol. 8(3), pages 253-285, December.
    10. G. L. S. Shackle, 1949. "A Non-Additive Measure of Uncertainty," Review of Economic Studies, Oxford University Press, vol. 17(1), pages 70-74.
    11. William Fellner, 1963. "Slanted Subjective Probabilities and Randomization: Reply to Howard Raiffa and K. R. W. Brewer," The Quarterly Journal of Economics, Oxford University Press, vol. 77(4), pages 676-690.
    12. Luce, R Duncan, 1988. "Rank-Dependent, Subjective Expected-Utility Representations," Journal of Risk and Uncertainty, Springer, vol. 1(3), pages 305-332, September.
    13. Loomes, Graham & Sugden, Robert, 1983. "A Rationale for Preference Reversal," American Economic Review, American Economic Association, vol. 73(3), pages 428-432, June.
    14. Fishburn, Peter C, 1978. "On Handa's "New Theory of Cardinal Utility" and the Maximization of Expected Return," Journal of Political Economy, University of Chicago Press, vol. 86(2), pages 321-324, April.
    15. Quiggin, John, 1982. "A theory of anticipated utility," Journal of Economic Behavior & Organization, Elsevier, vol. 3(4), pages 323-343, December.
    16. Fishburn, Peter C, 1988. "Expected Utility: An Anniversary and a New Era," Journal of Risk and Uncertainty, Springer, vol. 1(3), pages 267-283, September.
    17. Uzi Segal, 1984. "Nonlinear Decision Weights with the Independence Axiom," UCLA Economics Working Papers 353, UCLA Department of Economics.
    18. Jerry Green, 1987. ""Making Book Against Oneself," the Independence Axiom, and Nonlinear Utility Theory," The Quarterly Journal of Economics, Oxford University Press, vol. 102(4), pages 785-796.
    19. Segal, Uzi, 1987. "Some remarks on Quiggin's anticipated utility," Journal of Economic Behavior & Organization, Elsevier, vol. 8(1), pages 145-154, March.
    20. Reilly, Robert J, 1982. "Preference Reversal: Further Evidence and Some Suggested Modifications in Experimental Design," American Economic Review, American Economic Association, vol. 72(3), pages 576-584, June.
    21. William Fellner, 1961. "Distortion of Subjective Probabilities as a Reaction to Uncertainty," The Quarterly Journal of Economics, Oxford University Press, vol. 75(4), pages 670-689.
    22. Schoemaker, Paul J H, 1982. "The Expected Utility Model: Its Variants, Purposes, Evidence and Limitations," Journal of Economic Literature, American Economic Association, vol. 20(2), pages 529-563, June.
    23. Gilboa, Itzhak, 1987. "Expected utility with purely subjective non-additive probabilities," Journal of Mathematical Economics, Elsevier, vol. 16(1), pages 65-88, February.
    24. Munier, Bertrand, 1989. "New models of decision under uncertainty: An interpretative essay," European Journal of Operational Research, Elsevier, vol. 38(3), pages 307-317, February.
    25. Unknown, 1986. "Letters," Choices: The Magazine of Food, Farm, and Resource Issues, Agricultural and Applied Economics Association, vol. 1(4), pages 1-9.
    26. Loomes, Graham & Sugden, Robert, 1987. "Some implications of a more general form of regret theory," Journal of Economic Theory, Elsevier, vol. 41(2), pages 270-287, April.
    27. Fishburn, Peter C, 1987. "Reconsiderations in the Foundations of Decision under Uncertainty," Economic Journal, Royal Economic Society, vol. 97(388), pages 825-841, December.
    28. Daniel Ellsberg, 1961. "Risk, Ambiguity, and the Savage Axioms," The Quarterly Journal of Economics, Oxford University Press, vol. 75(4), pages 643-669.
    29. Pommerehne, Werner W & Schneider, Friedrich & Zweifel, Peter, 1982. "Economic Theory of Choice and the Preference Reversal Phenomenon: A Reexamination," American Economic Review, American Economic Association, vol. 72(3), pages 569-574, June.
    30. David E. Bell, 1982. "Regret in Decision Making under Uncertainty," Operations Research, INFORMS, vol. 30(5), pages 961-981, October.
    31. Machina, Mark J, 1982. ""Expected Utility" Analysis without the Independence Axiom," Econometrica, Econometric Society, vol. 50(2), pages 277-323, March.
    32. Kreps, David M, 1979. "A Representation Theorem for "Preference for Flexibility"," Econometrica, Econometric Society, vol. 47(3), pages 565-577, May.
    33. Fishburn, Peter C & LaValle, Irving H, 1988. "Context-Dependent Choice with Nonlinear and Nontransitive Preferences," Econometrica, Econometric Society, vol. 56(5), pages 1221-1239, September.
    34. Bertrand Munier, 1984. "Quelques critiques de la rationalité économique dans l'incertain," Revue Économique, Programme National Persée, vol. 35(1), pages 65-86.
    35. Kahneman, Daniel & Tversky, Amos, 1979. "Prospect Theory: An Analysis of Decision under Risk," Econometrica, Econometric Society, vol. 47(2), pages 263-291, March.
    36. Howard Raiffa, 1961. "Risk, Ambiguity, and the Savage Axioms: Comment," The Quarterly Journal of Economics, Oxford University Press, vol. 75(4), pages 690-694.
    37. K. R. W. Brewer & William Fellner, 1965. "The Slanting of Subjective Probabilities — Agreement on Some Essentials," The Quarterly Journal of Economics, Oxford University Press, vol. 79(4), pages 657-663.
    38. Einhorn, Hillel J & Hogarth, Robin M, 1986. "Decision Making under Ambiguity," The Journal of Business, University of Chicago Press, vol. 59(4), pages 225-250, October.
    39. Grether, David M & Plott, Charles R, 1979. "Economic Theory of Choice and the Preference Reversal Phenomenon," American Economic Review, American Economic Association, vol. 69(4), pages 623-638, September.
    40. Rothschild, Michael & Stiglitz, Joseph E., 1970. "Increasing risk: I. A definition," Journal of Economic Theory, Elsevier, vol. 2(3), pages 225-243, September.
    41. Segal, Uzi, 1988. "Does the Preference Reversal Phenomenon Necessarily Contradict the Independence Axiom?," American Economic Review, American Economic Association, vol. 78(1), pages 233-236, March.
    42. Karni, Edi & Safra, Zvi, 1987. ""Preference Reversal' and the Observability of Preferences by Experimental Methods," Econometrica, Econometric Society, vol. 55(3), pages 675-685, May.
    43. Patrick Suppes, 1987. "Maximizing Freedom of Decision: an Axiomatic Analysis," Palgrave Macmillan Books, in: George R. Feiwel (ed.), Arrow and the Foundations of the Theory of Economic Policy, chapter 6, pages 243-254, Palgrave Macmillan.
    44. Machina, Mark J, 1987. "Choice under Uncertainty: Problems Solved and Unsolved," Journal of Economic Perspectives, American Economic Association, vol. 1(1), pages 121-154, Summer.
    45. David E. Bell, 1985. "Disappointment in Decision Making Under Uncertainty," Operations Research, INFORMS, vol. 33(1), pages 1-27, February.
    46. Encarnacion, J., 1987. "Preference paradoxes and lexicographic choice," Journal of Economic Behavior & Organization, Elsevier, vol. 8(2), pages 231-248, June.
    47. Tversky, Amos & Kahneman, Daniel, 1986. "Rational Choice and the Framing of Decisions," The Journal of Business, University of Chicago Press, vol. 59(4), pages 251-278, October.
    48. Dekel, Eddie, 1986. "An axiomatic characterization of preferences under uncertainty: Weakening the independence axiom," Journal of Economic Theory, Elsevier, vol. 40(2), pages 304-318, December.
    49. Holt, Charles A, 1986. "Preference Reversals and the Independence Axiom," American Economic Review, American Economic Association, vol. 76(3), pages 508-515, June.
    50. Graham Loomes & Robert Sugden, 1986. "Disappointment and Dynamic Consistency in Choice under Uncertainty," Review of Economic Studies, Oxford University Press, vol. 53(2), pages 271-282.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Meglena Jeleva, 2005. "Croyances de survie et choix de contrat d'assurance décès une étude empirique," Recherches économiques de Louvain, De Boeck Université, vol. 71(1), pages 95-116.
    2. Patrick Epingard, 1993. "Rationalité individuelle et traitement de l'information : les leçons du scrabble de compétition," Revue Économique, Programme National Persée, vol. 44(6), pages 1099-1126.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Camerer, Colin & Weber, Martin, 1992. "Recent Developments in Modeling Preferences: Uncertainty and Ambiguity," Journal of Risk and Uncertainty, Springer, vol. 5(4), pages 325-370, October.
    2. Bruno S. Frey & Reiner Eichenberger, 1989. "Should Social Scientists Care about Choice Anomalies?," Rationality and Society, , vol. 1(1), pages 101-122, July.
    3. Karni, Edi & Schmeidler, David, 1990. "Utility Theory and Uncertainty," Foerder Institute for Economic Research Working Papers 275480, Tel-Aviv University > Foerder Institute for Economic Research.
    4. Buschena, David & Zilberman, David, 1992. "Not Just Another Paper Showing Violations of the Expected Utility Model: The Effects of Alternative Similarity on Risky Choice," CUDARE Working Papers 198603, University of California, Berkeley, Department of Agricultural and Resource Economics.
    5. Karni, Edi & Maccheroni, Fabio & Marinacci, Massimo, 2015. "Ambiguity and Nonexpected Utility," Handbook of Game Theory with Economic Applications,, Elsevier.
    6. Zvi Safra & Uzi Segal, 2005. "Are Universal Preferences Possible? Calibration Results for Non-Expected Utility Theories," Boston College Working Papers in Economics 633, Boston College Department of Economics.
    7. Han Bleichrodt & Peter P. Wakker, 2015. "Regret Theory: A Bold Alternative to the Alternatives," Economic Journal, Royal Economic Society, vol. 0(583), pages 493-532, March.
    8. Herweg, Fabian & Müller, Daniel, 2021. "A comparison of regret theory and salience theory for decisions under risk," Journal of Economic Theory, Elsevier, vol. 193(C).
    9. Battalio, Raymond C & Kagel, John H & Jiranyakul, Komain, 1990. "Testing between Alternative Models of Choice under Uncertainty: Some Initial Results," Journal of Risk and Uncertainty, Springer, vol. 3(1), pages 25-50, March.
    10. Shaw, W. Douglass & Woodward, Richard T., 2008. "Why environmental and resource economists should care about non-expected utility models," Resource and Energy Economics, Elsevier, vol. 30(1), pages 66-89, January.
    11. Liang Zou, 2006. "An Alternative to Prospect Theory," Annals of Economics and Finance, Society for AEF, vol. 7(1), pages 1-28, May.
    12. Weber, Elke U., 1989. "A Behavioral Approach To Decision Making Under Uncertainty: Implications And Lessons For Expected Utility Theory," 1989 Quantifying Long Run Agricultural Risks and Evaluating Farmer Responses to Risk Meeting, April 9-12, 1989, Sanibel Island, Florida 271520, Regional Research Projects > S-232: Quantifying Long Run Agricultural Risks and Evaluating Farmer Responses to Risk.
    13. Trabelsi, Mohamed Ali, 2008. "Les nouveaux modèles de décision dans le risque et l’incertain : quel apport ? [The new models of decision under risk or uncertainty: What approach?]," MPRA Paper 83347, University Library of Munich, Germany, revised 2008.
    14. Bernasconi, Michele, 1992. "Different Frames for the Independence Axiom: An Experimental Investigation in Individual Decision Making under Risk," Journal of Risk and Uncertainty, Springer, vol. 5(2), pages 159-174, May.
    15. Gregory B. Pollock & Keith A. Lewis, 1993. "Gambling in a Malthusian Universe," Rationality and Society, , vol. 5(1), pages 85-106, January.
    16. Trabelsi, Mohamed Ali, 2006. "Les nouveaux modèles de décision dans le risque et l’incertain : quel apport ? [The new models of decision under risk or uncertainty : What approach?]," MPRA Paper 25442, University Library of Munich, Germany.
    17. Buschena, David E. & Zilberman, David, 1992. "Similarity of Choices and the Performance of the Expected Utility Approach: Empirical Results," 1992 Quantifying Long Run Agricultural Risks and Evaluating Farmer Responses to Risk Meeting, March 22-25, 1992, Orlando, Florida 307868, Regional Research Projects > S-232: Quantifying Long Run Agricultural Risks and Evaluating Farmer Responses to Risk.
    18. Pavlo Blavatskyy, 2018. "A second-generation disappointment aversion theory of decision making under risk," Theory and Decision, Springer, vol. 84(1), pages 29-60, January.
    19. Phillips Peter J. & Pohl Gabriela, 2018. "The Deferral of Attacks: SP/A Theory as a Model of Terrorist Choice when Losses Are Inevitable," Open Economics, De Gruyter, vol. 1(1), pages 71-85, February.
    20. Trabelsi, Mohamed Ali, 2006. "Les Nouveaux Modèles de Décision dans le Risque et l’Incertain : Quel Apport ? [The New Models of Decision Under Risk or Uncertainty : What Approach?]," MPRA Paper 76954, University Library of Munich, Germany.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:prs:reveco:reco_0035-2764_1990_num_41_1_409193. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Equipe PERSEE (email available below). General contact details of provider: https://www.persee.fr/collection/reco .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.