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  • May 2000
  • Article
  • Journal of Economic Theory

Maxmin Expected Utility over Savage Acts with a Set of Priors

By: Ramon Casadesus-Masanell, Peter Klibanoff and Emre Ozdenoren
  • Format:Print
  • | Pages:31
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Abstract

This paper provides an axiomatic foundation for a maxmin expected utility over a set of priors (MMEU) decision rule in an environment where the elements of choice are Savage acts. This characterization complements the original axiomatizations of MMEU developed in a lottery-acts (or Anscombe-Aumann) framework by Gilboa and Schmeidler (1989). MMEU preferences are of interest primarily because they provide a natural and tractable way of modeling decision makers who display an aversion to uncertainty or ambiguity. The novel axioms are formulated using standard sequence techniques, which allow cardinal properties of utility be expressed directly through preferences.

Keywords

Uncertainty Aversion; Ambiguity; Expected Utility; Set Of Priors; Knightian Uncertainty; Decision Making; Game Theory; Risk and Uncertainty; Mathematical Methods

Citation

Casadesus-Masanell, Ramon, Peter Klibanoff, and Emre Ozdenoren. "Maxmin Expected Utility over Savage Acts with a Set of Priors." Journal of Economic Theory 92, no. 1 (May 2000): 35–65.
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About The Author

Ramon Casadesus-Masanell

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