COHERENT DECISION-ANALYSIS WITH INSEPARABLE PROBABILITIES AND UTILITIES

被引：22

作者：

NAU, RF

机构：

[1] The Fuqua School of Business, Duke University, Durham, 27708-0120, North Carolina

来源：

JOURNAL OF RISK AND UNCERTAINTY | 1995年 / 10卷 / 01期

关键词：

COHERENCE; SUBJECTIVE PROBABILITY; STATE-DEPENDENT UTILITY; SMALL WORLDS; RISK NEUTRAL PROBABILITIES; NONCOOPERATIVE GAMES; ARBITRAGE; DUTCH BOOKS;

D O I：

10.1007/BF01211529

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This article explores the extent to which a decision maker's probabilities can be measured separately from his/her utilities by observing his/her acceptance of small monetary gambles. Only a partial separation is achieved: the acceptable gambles are partitioned into a set of ''belief gambles,'' which reveals probabilities distorted by marginal utilities for money, and a set of ''preference gambles,'' which reveals utilities reciprocally distorted by marginal utilities for money. However, the information in these gambles still enables us to solve the decision maker's problem: his/her utility-maximizing decision is the one that avoids arbitrage (i.e., incoherence or Dutch books).

引用

页码：71 / 91

页数：21

共 36 条

[11] MIXTURE-SET AXIOMATIZATION OF CONDITIONAL SUBJECTIVE EXPECTED UTILITY [J].