Expected Utility with Multiple Priors
نویسندگان
چکیده
Let % be a preference relation on a convex set F . Necessary and sufficient conditions are given that guarantee the existence of a set {ul} of affine utility functions on F such that % is represented by U ( f ) = ul ( f ) if f ∈ Fl; where each Fl is a convex subset of F . The interpretation is simple: facing a “non-homogeneous” set F of alternatives, a decision maker splits it into “homogeneous” subsets Fl , and acts as a standard expected utility maximizer on each of them. In particular, when F is a set of simple acts, each ul corresponds to a subjective expected utility with respect to a finitely additive probability Pl; while when F is a set of continuous acts, each probability Pl is countably additive.
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