We consider decision makers who know that payoff-relevant observations are generated by a process that belongs to a given class M, as posulated by Wald. We incorporate this Waldean piece of objective information within an otherwise subjective setting à la Savage, and show that this leads to a two-stage subjective expected utility model that accounts for both state and model uncertainty.
Classical subjective expected utility
MARINACCI, Massimo;MONTRUCCHIO, Luigi
2013-01-01
Abstract
We consider decision makers who know that payoff-relevant observations are generated by a process that belongs to a given class M, as posulated by Wald. We incorporate this Waldean piece of objective information within an otherwise subjective setting à la Savage, and show that this leads to a two-stage subjective expected utility model that accounts for both state and model uncertainty.
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