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Scientific article 1994

Expected utility with lower probabilities

Authors:

  • Ebbe Hendon
  • Hans Jørgen Jacobsen
  • Birgitte Sloth
  • Torben Tranæs
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An uncertain and not just risky situation may be modeled using so-called belief functions assigning lower probabilities to subsets of outcomes. In this article we extend the von Neumann-Morgenstern expected utility theory from probability measures to belief functions. We use this theory to characterize uncertainty neutrality and different degrees of uncertainty aversion.

Authors

  • Ebbe HendonHans Jørgen JacobsenBirgitte SlothTorben Tranæs

About this publication

  • Published in

    Journal of Risk and Uncertainty
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