title: Classical subjective expected utility.
abstract: We consider decision makers who know that payoff-relevant observations are generated by a process that belongs to a given class M, as postulated in Wald [Wald A (1950) Statistical Decision Functions (Wiley, New York)]. We incorporate this Waldean piece of objective information within an otherwise subjective setting à la Savage [Savage LJ (1954) The Foundations of Statistics (Wiley, New York)] and show that this leads to a two-stage subjective expected utility model that accounts for both state and model uncertainty.
authors.affiliation: Department of Decision Sciences and IGIER, Università Bocconi, 20136 Milan, Italy.
authors.forename: Simone
authors.initials: S
authors.lastname: Cerreia-Vioglio
authors.forename: Fabio
authors.initials: F
authors.lastname: Maccheroni
authors.forename: Massimo
authors.initials: M
authors.lastname: Marinacci
authors.forename: Luigi
authors.initials: L
authors.lastname: Montrucchio
mesh_terms: D003657:Decision Making / Q000502:physiology*; D003662:Decision Theory; D006801:Humans; D008962:Models, Theoretical; D035501:Uncertainty