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Random Expected Utility
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 m...
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| Published in: | Econometrica 2006-01, Vol.74 (1), p.121-146 |
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| Main Authors: | , |
| Format: | Article |
| Language: | English |
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| cited_by | cdi_FETCH-LOGICAL-c5221-753d3d19941738f3cecf62a5075874fe954b8bd18a6c7400ed823a25d79fdd3b3 |
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| cites | cdi_FETCH-LOGICAL-c5221-753d3d19941738f3cecf62a5075874fe954b8bd18a6c7400ed823a25d79fdd3b3 |
| container_end_page | 146 |
| container_issue | 1 |
| container_start_page | 121 |
| container_title | Econometrica |
| container_volume | 74 |
| creator | Gul, Faruk Pesendorfer, Wolfgang |
| description | 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 a lottery is chosen does not increase when other lotteries are added to the decision problem), extreme (lotteries that are not extreme points of the decision problem are chosen with probability 0), and linear (satisfies the independence axiom). |
| doi_str_mv | 10.1111/j.1468-0262.2006.00651.x |
| format | article |
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We show that a random choice rule maximizes some random utility function if and only if it is mixture continuous, monotone (the probability that a lottery is chosen does not increase when other lotteries are added to the decision problem), extreme (lotteries that are not extreme points of the decision problem are chosen with probability 0), and linear (satisfies the independence axiom).</description><identifier>ISSN: 0012-9682</identifier><identifier>EISSN: 1468-0262</identifier><identifier>DOI: 10.1111/j.1468-0262.2006.00651.x</identifier><identifier>CODEN: ECMTA7</identifier><language>eng</language><publisher>Oxford, UK and Boston, USA: Blackwell Publishing Ltd</publisher><subject>Algebra ; Applications ; Applied sciences ; Decision making ; Decision theory ; Decision theory. 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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 a lottery is chosen does not increase when other lotteries are added to the decision problem), extreme (lotteries that are not extreme points of the decision problem are chosen with probability 0), and linear (satisfies the independence axiom).</description><subject>Algebra</subject><subject>Applications</subject><subject>Applied sciences</subject><subject>Decision making</subject><subject>Decision theory</subject><subject>Decision theory. Utility theory</subject><subject>Determinism</subject><subject>Economic models</subject><subject>Economic theory</subject><subject>Exact sciences and technology</subject><subject>Expected utility</subject><subject>Insurance, economics, finance</subject><subject>Linear transformations</subject><subject>Lotteries</subject><subject>Market theory</subject><subject>Mathematical methods</subject><subject>Mathematics</subject><subject>Measurement</subject><subject>Microeconomics</subject><subject>Operational research and scientific management</subject><subject>Operational research. Management science</subject><subject>Polyhedrons</subject><subject>Polytopes</subject><subject>Probability and statistics</subject><subject>random choice</subject><subject>Random utility</subject><subject>Random variables</subject><subject>Rational expectations</subject><subject>Sciences and techniques of general use</subject><subject>Statistics</subject><subject>Studies</subject><subject>Utility functions</subject><subject>Utility models</subject><issn>0012-9682</issn><issn>1468-0262</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2006</creationdate><recordtype>article</recordtype><sourceid>8BJ</sourceid><recordid>eNqNkEtLAzEUhYMoWKtrNy6KoLsZ85hMkoULqfWFKEhVcHNJkwzMOO3UZIrtvzd1pIIrww25cL5zCAehAcEpieesSkmWywTTnKYU4zyNl5N0uYV6G2Eb9TAmNFG5pLtoL4QKY8zj9NDhk57ZZjoYLefOtM4OntuyLtvVPtopdB3cwc_bR89Xo_HwJrl_vL4dXtwnhlNKEsGZZZYolRHBZMGMM0VONceCS5EVTvFsIieWSJ0bkWHsrKRMU26FKqxlE9ZHp13u3DcfCxdamJbBuLrWM9csAjAhGCYCR_D4D1g1Cz-LfwOKmVSZUipCsoOMb0LwroC5L6far4BgWNcFFaxbgXUrsK4LvuuCZbSe_OTrYHRdeD0zZfj1i0wQksvInXfcZ1m71b_zYTQcX8Qt-o86fxXaxm_8jCupKI9y0sllaN1yI2v_DrlggsPrwzW8Xaq7l-xGwph9AWcRksc</recordid><startdate>200601</startdate><enddate>200601</enddate><creator>Gul, Faruk</creator><creator>Pesendorfer, Wolfgang</creator><general>Blackwell Publishing Ltd</general><general>Econometric Society</general><general>Blackwell</general><scope>BSCLL</scope><scope>IQODW</scope><scope>AAYXX</scope><scope>CITATION</scope><scope>8BJ</scope><scope>FQK</scope><scope>JBE</scope></search><sort><creationdate>200601</creationdate><title>Random Expected Utility</title><author>Gul, Faruk ; Pesendorfer, Wolfgang</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c5221-753d3d19941738f3cecf62a5075874fe954b8bd18a6c7400ed823a25d79fdd3b3</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2006</creationdate><topic>Algebra</topic><topic>Applications</topic><topic>Applied sciences</topic><topic>Decision making</topic><topic>Decision theory</topic><topic>Decision theory. Utility theory</topic><topic>Determinism</topic><topic>Economic models</topic><topic>Economic theory</topic><topic>Exact sciences and technology</topic><topic>Expected utility</topic><topic>Insurance, economics, finance</topic><topic>Linear transformations</topic><topic>Lotteries</topic><topic>Market theory</topic><topic>Mathematical methods</topic><topic>Mathematics</topic><topic>Measurement</topic><topic>Microeconomics</topic><topic>Operational research and scientific management</topic><topic>Operational research. Management science</topic><topic>Polyhedrons</topic><topic>Polytopes</topic><topic>Probability and statistics</topic><topic>random choice</topic><topic>Random utility</topic><topic>Random variables</topic><topic>Rational expectations</topic><topic>Sciences and techniques of general use</topic><topic>Statistics</topic><topic>Studies</topic><topic>Utility functions</topic><topic>Utility models</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Gul, Faruk</creatorcontrib><creatorcontrib>Pesendorfer, Wolfgang</creatorcontrib><collection>Istex</collection><collection>Pascal-Francis</collection><collection>CrossRef</collection><collection>International Bibliography of the Social Sciences (IBSS)</collection><collection>International Bibliography of the Social Sciences</collection><collection>International Bibliography of the Social Sciences</collection><jtitle>Econometrica</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Gul, Faruk</au><au>Pesendorfer, Wolfgang</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Random Expected Utility</atitle><jtitle>Econometrica</jtitle><date>2006-01</date><risdate>2006</risdate><volume>74</volume><issue>1</issue><spage>121</spage><epage>146</epage><pages>121-146</pages><issn>0012-9682</issn><eissn>1468-0262</eissn><coden>ECMTA7</coden><abstract>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 a lottery is chosen does not increase when other lotteries are added to the decision problem), extreme (lotteries that are not extreme points of the decision problem are chosen with probability 0), and linear (satisfies the independence axiom).</abstract><cop>Oxford, UK and Boston, USA</cop><pub>Blackwell Publishing Ltd</pub><doi>10.1111/j.1468-0262.2006.00651.x</doi><tpages>26</tpages></addata></record> |
| fulltext | fulltext |
| identifier | ISSN: 0012-9682 |
| ispartof | Econometrica, 2006-01, Vol.74 (1), p.121-146 |
| issn | 0012-9682 1468-0262 |
| language | eng |
| recordid | cdi_proquest_miscellaneous_37730170 |
| source | EconLit s plnými texty; International Bibliography of the Social Sciences (IBSS); JSTOR Archival Journals and Primary Sources Collection; Wiley-Blackwell Read & Publish Collection |
| subjects | Algebra Applications Applied sciences Decision making Decision theory Decision theory. Utility theory Determinism Economic models Economic theory Exact sciences and technology Expected utility Insurance, economics, finance Linear transformations Lotteries Market theory Mathematical methods Mathematics Measurement Microeconomics Operational research and scientific management Operational research. Management science Polyhedrons Polytopes Probability and statistics random choice Random utility Random variables Rational expectations Sciences and techniques of general use Statistics Studies Utility functions Utility models |
| title | Random Expected Utility |
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