Journal Article10.1111/J.1468-0262.2006.00651.X
Random Expected Utility
Faruk Gul,Wolfgang Pesendorfer +1 more
TL;DR: In this article, a model of random choice and random expected utility is developed and analyzed, and it is shown that a random choice rule maximizes some random utility function if and only if it is mixture continuous, monotone (the probability that a lottery is chosen does not increase when other lotteries are added to the decision problem), extreme (lotteries that are not extreme points of the problem are chosen with probability 0), and linear (satisfies the independence axiom).
read more
Abstract: We develop and analyze a model of random choice and random expected utility. A decision problem is a finite set of lotteries that describe the feasible choices. A random choice rule associates with each decision problem a probability measure over choices. A random utility function is a probability measure over von Neumann-Morgenstern utility functions. We show that a random choice rule maximizes some random utility function if and only if it is mixture continuous, monotone (the probability that a lottery is chosen does not increase when other lotteries are added to the decision problem), extreme (lotteries that are not extreme points of the decision problem are chosen with probability 0), and linear (satisfies the independence axiom).
read more
Chat with Paper
AI Agents for this Paper
Find similar papers on Google Scholar, PubMed and Arxiv
Write a critical review of this paper
Analyze citations of this paper to find unaddressed research gaps
Citations
Ellsberg revisited: an experimental study
TL;DR: The authors showed that attitudes to ambiguity and compound objective lotteries are tightly associated and that ambiguity averse or seeking behavior is associated with compound objective lottery participants' preference for ambiguity over ambiguity.
Revealed Preference, Rational Inattention, and Costly Information Acquisition
Andrew Caplin,Mark Dean +1 more
TL;DR: This article developed a revealed preference test for optimal acquisition of costly information, which encompasses models of rational inattention, sequential signal processing, and search, and provided limits on the extent to which attention costs can be recovered from choice data.
Beyond Revealed Preference: Choice-Theoretic Foundations for Behavioral Welfare Economics
TL;DR: This paper proposed a broad generalization of standard choice-theoretic welfare economics that encompasses a wide variety of nonstandard behavioral models, exploiting the coherent aspects of choice that those positive models typically attempt to capture.
Ellsberg Revisited: An Experimental Study
TL;DR: The authors showed that attitudes to ambiguity and compound objective lotteries are tightly associated, and that ambiguity is associated with a negative effect on the expected utility of compound objective lottery games on the subjective expected utility.
532
Stochastic Choice and Consideration Sets
Paola Manzini,Marco Mariotti +1 more
TL;DR: In this article, a boundedly rational agent who suers from limited attention considers each feasible alternative with a given (unobservable) probability, the attention parameter, and then chooses the alternative that maximises a prefer- ence relation within the set of considered alternatives.
References
Prospect theory: an analysis of decision under risk
Daniel Kahneman,Amos Tversky +1 more
TL;DR: In this paper, the authors present a critique of expected utility theory as a descriptive model of decision making under risk, and develop an alternative model, called prospect theory, in which value is assigned to gains and losses rather than to final assets and in which probabilities are replaced by decision weights.
•Book
Convex bodies : the Brunn-Minkowski theory
Rolf Schneider
- 01 Feb 1993
TL;DR: Inequalities for mixed volumes 7. Selected applications Appendix as discussed by the authors ] is a survey of mixed volumes with bounding boxes and quermass integrals, as well as a discussion of their applications.
A representation theorem for finite random scale systems
TL;DR: In this paper, necessary and sufficient conditions on choice probabilities were investigated for the existence of random variables Ua, satisfying the equation Pa,B = P {Ua = max {Ub | b ∈ B}} for all nonempty finite subsets B in a fixed set A, and all a ∈ b. A complete solution to this representation problem was obtained in the case where A is finite.
289