Conditional expected utility criteria for decision making under ignorance or objective ambiguity

Nicolas Gravel (1) , Thierry Marchant (2) , Arunava Sen (3)

1 AMSE - Aix-Marseille Sciences Economiques
2 UGENT - Universiteit Gent = Ghent University
3 Indian Statistical Institute [New Delhi]

We provide an axiomatic characterization of a family of criteria for ranking completely uncertain and/or ambiguous decisions. A completely uncertain decision is described by the set of all its consequences (assumed to be finite). An ambiguous decision is described as a set of possible probability distributions over a set of prizes. Every criterion in the family compares sets on the basis of their conditional expected utility , for some “likelihood” function taking strictly positive values and some utility function both having the universe of alternatives as their domain.

Keywords: Ignorance; Ambiguity; Conditional Probabilities; Expected Utility; Ranking Sets; axioms JEL classification numbers: D80; D81

Domains: Humanities and Social Sciences; Economics and Finance; Mathematics [math]

Nicolas Gravel, Thierry Marchant, Arunava Sen. Conditional expected utility criteria for decision making under ignorance or objective ambiguity. Journal of Mathematical Economics, 2018, 78, pp.79-95. ⟨10.1016/j.jmateco.2018.08.001⟩. ⟨hal-01988972⟩