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

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

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