We consider decision makers who know that payoff-relevant observations are generated by a process that belongs to a given class M, as postulated in Wald [A. Wald (1950) Statistical Decision Functions (Wiley, New York)]. We incorporate this Waldean piece of objective information within an otherwise subjective setting à la Savage [L.J. Savage (1954) The Foundations of Statistics (Wiley, New York)] and show that this leads to a two-stage subjective expected utility model that accounts for both state and model uncertainty.

Classical subjective expected utility

Cerreia Vioglio, Simone;Maccheroni, Fabio;Marinacci, Massimo
;
Montrucchio, Luigi
2013

Abstract

We consider decision makers who know that payoff-relevant observations are generated by a process that belongs to a given class M, as postulated in Wald [A. Wald (1950) Statistical Decision Functions (Wiley, New York)]. We incorporate this Waldean piece of objective information within an otherwise subjective setting à la Savage [L.J. Savage (1954) The Foundations of Statistics (Wiley, New York)] and show that this leads to a two-stage subjective expected utility model that accounts for both state and model uncertainty.
2013
Cerreia Vioglio, Simone; Maccheroni, Fabio; Marinacci, Massimo; Montrucchio, Luigi
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11565/3852297
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