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Pré-Publication, Document De Travail Année : 2020

Second-Order Beliefs and Second-Order Expected Utility

Résumé

We present an axiomatization of the Second-Order Expected Utility model in the environment of Anscombe and Aumann (1963) where the domain of the preference relation is the set of lotteries over all acts whose prize are lotteries. We replace the axiom of reversal of order in compound lotteries (Assumption 1 in Anscombe and Aumann (1963)) by an extension of monotonicity in the prizes (Assumption 2 in Anscombe and Aumann (1963)) that is a strengthening of the Dominance axiom introduced by Seo (2009). This extends the contributions of Grant et al. (2009) by allowing for a general representation result without restricting the decision maker's attitude towards subjective uncertainty.
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Dates et versions

hal-02922263 , version 1 (26-08-2020)

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  • HAL Id : hal-02922263 , version 1

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Victor Filipe Martins da Rocha, Rafael Mouallem. Second-Order Beliefs and Second-Order Expected Utility. 2020. ⟨hal-02922263⟩
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