Mean–Variance and Expected Utility: The Borch Paradox

The Two-Envelope Paradox, Nonstandard Expected Utility, and the Intensionality of Probability

You are given a choice between two envelopes. You are told, reliably, that each envelope has some money in it—some whole number of dollars, say—and that one envelope contains twice as much money as the other. You don’t know which has the higher amount and which has the lower. You choose one, but are given the opportunity to switch to the other. Here is an argument that it is rationally preferab...

On the Foundations of Expected Expected Utility

Intelligent agents often need to assess user utility functions in order to make decisions on their behalf, or predict their behavior. When uncertainty exists over the precise nature of this utility function, one can model this uncertainty using a distribution over utility functions. This view lies at the core of games with incomplete information and, more recently, several proposals for increme...

The Expected Utility of Movement

Acknowledgments: We thank Paul Glimcher for his comments on an earlier draft of this manuscript.

The classical Expected Utility model

This chapter of a collective book aims at presenting the basics of decision making under risk. We ...rst de...ne notions of risk and increasing risk and recall de...nitions and classi...cations (that are valid independently of any representation) of behavior under risk. We then review the classical model of expected utility due to von Neumann and Morgenstern and its main properties. Issues rais...

Utility Assessment under Expected Utility and Rank Dependent Utility Assumptions