Choice theory when agents can randomize
The paper is devoted to choice theory under risk or uncertainty. The choice correspondencies generated by various axiomatic utility theories are considered. The author considers in this respect Choquet expected utility, maxmin expected utility, maxmin utility, and multiple prior expected utility. Relations to revealed preference are also investigated. All choice problems are closed under probabilistic mixture. Applications of the results to game theory and to statistical decision theory are described. Perspectives of further research are discussed in the concluding part of the paper.
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- Weighted sets of probabilities and minimax weighted expected regret: a new approach for representing uncertainty and making decisions
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