Hurwicz expected utility and subjective sources

In experiments, subjects are often not indifferent among all sources of uncertainty; between two prospects yielding the same distribution of monetary rewards, they may strictly prefer one over the other. We formulate a special case of α-maxmin expected utility theory in a Savage setting, show that every decision maker perceives multiple subjective sources, and that source-utilities are rank dependent expected utility. A power series identifies each source, measures source-uncertainty, and determines the agent’s sourcespecific risk attitude. Subjective sources connect Ellsberg-paradox behavior with source preference and with Allais-paradox behavior. † This research was supported by a grant from the National Science Foundation (Grant number: SES0820101). We are grateful to Adriano Basso and Jay Lu and three anonymous referees for many insightful comments and suggestions.