Random Expected Utility

@inproceedings{Gul2005RandomEU,
  title={Random Expected Utility},
  author={Faruk Gul and Wolfgang Pesendorfer},
  year={2005}
}
  • Faruk Gul, Wolfgang Pesendorfer
  • Published 2005
  • Mathematics
  • We develop and analyze a model of random choice and random expected utility. A decision problem is a finite set of lotteries that describe the feasible choices. A random choice rule associates with each decision problem a probability measure over choices. A random utility function is a probability measure over von Neumann-Morgenstern utility functions. We show that a random choice rule maximizes some random utility function if and only if it is mixture continuous, monotone (the probability that… CONTINUE READING

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