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Decision under Uncertainty: The Classical Models

Author

Listed:
  • Alain Chateauneuf

    (CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, PSE - Paris School of Economics - UP1 - Université Paris 1 Panthéon-Sorbonne - ENS-PSL - École normale supérieure - Paris - PSL - Université Paris Sciences et Lettres - EHESS - École des hautes études en sciences sociales - ENPC - École nationale des ponts et chaussées - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement)

  • Michèle Cohen

    (CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, PSE - Paris School of Economics - UP1 - Université Paris 1 Panthéon-Sorbonne - ENS-PSL - École normale supérieure - Paris - PSL - Université Paris Sciences et Lettres - EHESS - École des hautes études en sciences sociales - ENPC - École nationale des ponts et chaussées - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement)

  • Jean-Yves Jaffray

    (DECISION - LIP6 - Laboratoire d'Informatique de Paris 6 - UPMC - Université Pierre et Marie Curie - Paris 6 - CNRS - Centre National de la Recherche Scientifique)

Abstract

This chapiter of a collective book is dedicated to classical decision models under uncertainty, i.e. under situations where events do not have "objective" probabilities with which the Decision Marker agrees. We present successively the two main theories, their axiomatic, the interpretation and the justification of their axioms and their main properties: first, the general model of Subjective Expected Utility due to Savage (Savage, 1954), second, the Anscombe-Aumann (1963) theory, in a different framework. Both theories enforce the universal use of a probabilistic representation. We then discuss this issue in connection with the experimental result known as the Ellsberg paradox
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Alain Chateauneuf & Michèle Cohen & Jean-Yves Jaffray, 2009. "Decision under Uncertainty: The Classical Models," Post-Print hal-00671295, HAL.
    • Handle: RePEc:hal:journl:hal-00671295
    DOI: 10.1002/9780470611876.ch9
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    Cited by:

    1. Dietrich, Franz, 2021. "Fully Bayesian aggregation," Journal of Economic Theory, Elsevier, vol. 194(C).
    2. Helena Gaspars-Wieloch, 2018. "The Impact of the Structure of the Payoff Matrix on the Final Decision made Under Uncertainty," Asia-Pacific Journal of Operational Research (APJOR), World Scientific Publishing Co. Pte. Ltd., vol. 35(01), pages 1-27, February.

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    Keywords

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    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty

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