A Generalization of Expected Utility: Ex-Post Luck
نویسنده
چکیده
I generalize the Von Neumann-Morgenstern (vNM) Expected Utility Theorem in the case of a finite set by weakening the Independence and Continuity axioms. In the resulting representation a lottery ∑ πixi is evaluated by ∑ Ψ(πiu(xi)), where the shape of Ψ determines what I call mixture attitudes. I consider three extensions: 1) allowing mixture-seeking attitudes in addition to mixture-averse attitudes, 2) extending the proof to an infinite set with discrete measures, 3) application to coarse state spaces in an Anscombe-Aumann setting.
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