A unified derivation of classical subjective expected utility models through cardinal utility

DOI10.1016/S0304-4068(98)00045-7MaRDI QIDQ1304440zbMATH OpenOpenAlexWikidataFDO

Authors Peter P. Wakker, Horst Zank

Publication date 14 November 2000

Published in Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0304-4068(98)00045-7

zbMATH Keywords

cardinal utilitysubjective expected utility

Mathematics Subject Classification ID

Probabilistic measure theory (60A10) Transportation, logistics and supply chain management (90B06) Utility theory (91B16)

Review text

In this paper the authors give a unified treatment of the expected utility models of de Finetti, Anscombe and Aumann, von Neumann and Morgenstern, Ramsey. For a finite set of states and a convex set of outcomes SEU with continuous utility and positive probabilities can be characterized by a monotonic continuous weak order that satisfies trade-off consistency. Moreover utility is cardinal. This theorem is used to derive the above mentioned models (theorems 2, 6, 7, 8) where the common feature is a cardinal utility index independent of states and probabilities. Especially relations of trade-off consistency to monotonocity, additivity, von Neumann-Morgenstern independence, exchangeability, sure thing principle are analyzed.

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Cited in

(11)

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