EXPECTED UTILITY WITH LOWER PROBABILITIES

Citation
E. Hendon et al., EXPECTED UTILITY WITH LOWER PROBABILITIES, Journal of risk and uncertainty, 8(2), 1994, pp. 197-216
Citations number
22
Categorie Soggetti
Economics,"Business Finance
ISSN journal
08955646
Volume
8
Issue
2
Year of publication
1994
Pages
197 - 216
Database
ISI
SICI code
0895-5646(1994)8:2<197:EUWLP>2.0.ZU;2-3
Abstract
An uncertain and not just risky situation may be modeled using so-call ed belief functions assigning lower probabilities to subsets of outcom es. In this article we extend the von Neumann-Morgenstern expected uti lity theory from probability measures to belief functions. We use this theory to characterize uncertainty neutrality and different degrees o f uncertainty aversion.