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La rénovation des fondements de l'utilité et du risque

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  • Marc Willinger

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[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.

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  • 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
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    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.

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