A Simple Behavioral Characterization of Subjective Expected Utility

• 成果类型: Article
• 署名作者: Blavatskyy, Pavlo
• 刊物名称: OPERATIONS RESEARCH
• ISSN/ISSBN: 0030-364X
• DOI: 10.1287/opre.2013.1179
• 发表日期: 2013
• 页码: 932-940
• 关键词: parameter-free elicitation; prospect-theory; probability; REPRESENTATION; FOUNDATIONS; preference

摘要

Subjective expected utility is the most widely used model to represent preferences under uncertainty (when objective probabilities of events may not be known). This paper presents a new behavioral characterization (preference axiomatization) of subjective expected utility. The latter is derived from a behavioral assumption of cardinal independence, also known as standard sequence invariance. This axiom requires that a standard sequence of outcomes (equally spaced in terms of utility) is independent of the conditional event. This axiom is a weaker version of the trade-off consistency condition of Wakker [Wakker PP (1984) Cardinal coordinate independence for expected utility. J. Math. Psych. 28: 110-117]. The main representation theorem is derived both in the connected topology approach and the algebraic approach (when step-continuity is replaced with solvability and Archimedean axioms).