Second-Order Beliefs and Second-Order Expected Utility

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26 août 2020

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HAL-SHS : économie et finance

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Archives ouvertes

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Centre pour la communication scientifique directe

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info:eu-repo/semantics/OpenAccess

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D - Microeconomics/D.D8 - Information, Knowledge, and Uncertainty/D.D8.D81 - Criteria for Decision-Making under Risk and Uncertainty

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Victor Filipe Martins da Rocha et al., « Second-Order Beliefs and Second-Order Expected Utility », HAL-SHS : économie et finance, ID : 10670/1.eq14pt

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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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