What were you thinking? Decision theory as coherence test

• 成果类型: Article
• 署名作者: Gilboa, Itzhak; Samuelson, Larry
• 署名单位: Tel Aviv University; Hautes Etudes Commerciales (HEC) Paris; Yale University
• 刊物名称: THEORETICAL ECONOMICS
• ISSN/ISSBN: 1933-6837
• DOI: 10.3982/TE4707
• 发表日期: 2022-05-01
• 页码: 507-519
• 关键词: Decision theory; revealed preference; coherence; maxmin expected utility; D8

摘要

Decision theory can be used to test the logic of decision making-one may ask whether a given set of decisions can be justified by a decision-theoretic model. Indeed, in principal-agent settings, such justifications may be required-a manager of an investment fund may be asked what beliefs she used when valuing assets and a government may be asked whether a portfolio of rules and regulations is coherent. In this paper we ask which collections of uncertain-act evaluations can be simultaneously justified under the maxmin expected utility criterion by a single set of probabilities. We draw connections to the fundamental theorem of finance (for the special case of a Bayesian agent) and revealed-preference results.