Savage for dummies and experts

• 成果类型: Article
• 署名作者: Abdellaoui, Mohammed; Wakker, Peter P.
• 署名单位: Centre National de la Recherche Scientifique (CNRS); Hautes Etudes Commerciales (HEC) Paris; Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2020.104991
• 发表日期: 2020
• 关键词: Subjective expected utility; Behavioral foundation; Mixture spaces; Foundations of statistics

摘要

Savage's foundation of expected utility is considered to be the most convincing justification of Bayesian expected utility and the crowning glory of decision theory. It combines exceptionally appealing axioms with deep mathematics. Despite the wide influence and deep respect that Savage received in economics and statistics, virtually no one touched his mathematical tools. We provide an updated analysis that is more general and more accessible. Our derivations are self-contained. This helps to better appreciate the depth and beauty of Savage's work and the foundations of Bayesianism, to teach it more easily, and to develop non-Bayesian generalizations incorporating ambiguity more efficiently. (C) 2020 Elsevier Inc. All rights reserved.