Classical Subjective Expected Utility
We consider decision makers that know that payo¤ relevant observations are generated by a process that belongs to a given class M, as postulated in Wald . We incorporate this Waldean piece of objective information within an otherwise subjective setting a la Savage  and show that this leads to a two-stages subjective expected utility model that accounts for both state and model uncertainty.
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- Peter Klibanoff & Massimo Marinacci & Sujoy Mukerji, 2002.
"A smooth model of decision making under ambiguity,"
ICER Working Papers - Applied Mathematics Series
11-2003, ICER - International Centre for Economic Research, revised Apr 2003.
- Simone Cerreia-Vioglio & Fabio Maccheroni & Massimo Marinacci & Luigi Montrucchio, 2011.
"Ambiguity and Robust Statistics,"
382, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Marinacci, Massimo & Montrucchio, Luigi, 2003.
"Subcalculus for set functions and cores of TU games,"
Journal of Mathematical Economics,
Elsevier, vol. 39(1-2), pages 1-25, February.
- Massimo Marinacci & Luigi Montrucchio, 2001. "Subcalculus for set functions and cores of TU games," ICER Working Papers - Applied Mathematics Series 09-2001, ICER - International Centre for Economic Research.
- Sujoy Mukerji & Peter Klibanoff and Kyoungwon Seo, 2011. "Relevance and Symmetry," Economics Series Working Papers 539, University of Oxford, Department of Economics.
- Marinacci, Massimo & Montrucchio, Luigi, 2010. "Unique solutions for stochastic recursive utilities," Journal of Economic Theory, Elsevier, vol. 145(5), pages 1776-1804, September.
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