MAXMIN EXPECTED UTILITY AND WEIGHT OF EVIDENCE

In 1989 Gilboa and Schmeidler proposed an extension of subjective expe cted utility theory called maxmin expected utility (MMEU). We present a new exposition of this theory and suggest an extension of MMEU which does not allow strictly dominated alternatives to be chosen. MMEU is related to the earlier notion of weight of evidence and an application to welfare economics is discussed. We examine normative properties of MMEU and argue that the theory is not vulnerable to the Dutch book ar gument.