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Subjective expected utility and psychological gambles

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  • Gianluca Cassese

Abstract

We obtain an elementary characterization of expected utility based on a representation of choice in terms of psychological gambles, which requires no assumption other than coherence between ex-ante and ex-post preferences. Weaker version of coherence are associated with various attitudes towards complexity and lead to a characterization of minimax or Choquet expected utility.

Suggested Citation

  • Gianluca Cassese, 2023. "Subjective expected utility and psychological gambles," Working Papers 524, University of Milano-Bicocca, Department of Economics, revised Jul 2023.
    • Handle: RePEc:mib:wpaper:524
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    More about this item

    Keywords

    Arbitrage; Choquet expected utility; Coherence; Conglomerability; Expected utility; Gamble; Maxmin expected utility; Multiple priors;
    All these keywords.

    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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