3rd International Symposium on
Imprecise Probabilities and Their Applications

ISIPTA '03

University of Lugano
Lugano, Switzerland
14-17 July 2003

ELECTRONIC PROCEEDINGS

Fabio Maccheroni, Massimo Marinacci, Erio Castagnoli

Expected Utility with Multiple Priors

Abstract

A preference relation on a convex set F is considered. Necessary and sufficient conditions are given that guarantee the existence of a set of affine utility functions { u_i } on F such that the preference relation is represented by U( f ) = u_i ( f ) if f belongs to F_i where each F_i is a convex subset of F. The interpretation is simple: facing a ``non-homogeneous'' set of alternatives F, a decision maker splits it into ``homogeneous'' subsets F_i, and acts as a standard expected utility maximizer on each of them. In particular, when F is a set of simple acts, each u_i corresponds to a subjective expected utility with respect to a finitely additive probability P_i ; while when F is a set of continuous acts, each probability P_i is countably additive.

Keywords. Preference representation, Subjective probability, Nonexpected utility, Integral representation, Multiple priors

Paper Download

The paper is availabe in the following formats:

Authors addresses:

Fabio Maccheroni
Istituto di Metodi Quantitativi
Università Bocconi
Viale Isonzo, 25
20135 Milano, Italy

Massimo Marinacci
Dipartimento di Statistica e Matematica Applicata
Piazza Arbarello, 8
10122 Torino
Italy

Erio Castagnoli
IMQ
U. Bocconi
viale Isonzo 25
20135 Milano

E-mail addresses:

Fabio Maccheroni fabio.maccheroni@uni-bocconi.it
Massimo Marinacci massimo@econ.unito.it
Erio Castagnoli erio.castagnoli@uni-bocconi.it


[ back to the Proceedings of ISIPTA '03 home page 
Send any remarks to the following address: smc@decsai.ugr.es