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A more robust definition of subjective probability

  • Machina,Mark
  • Schmeidler,David

    (Machina:University of California,San Diego Schmeidler:Ohio State University and Tel-Aviv University)

The goal of choice-theoretic derivations of subjective probability is to separate a decisionmaker's underlying beliefs (subjective probabilities of events) from their preferences (attitudes toward risk). Classical derivations have all relied upon some form of the Marschak-Samuelson "Independence Axiom" or the Savage "Sure-Thing Principle," which imply that preferences over lotteries conform to the expected utility hypothesis. This paper presents a choice-theoretic derivation of subjective probability in a Savage-type setting of purely subjective uncertainty, which neither assumes nor implies that the decisionmaker's preferences over lotteries necessarily conform to the expected utility hypothesis. Copyright 1992 by The Econometric Society.

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Paper provided by University of Bonn, Germany in its series Discussion Paper Serie A with number 365.

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Date of creation: Jul 1991
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Handle: RePEc:bon:bonsfa:365
Contact details of provider: Postal: Bonn Graduate School of Economics, University of Bonn, Adenauerallee 24 - 26, 53113 Bonn, Germany
Fax: +49 228 73 6884
Web page: http://www.bgse.uni-bonn.de

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