Continuous subjective expected utility with non-additive probabilities☆

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Abstract

A well-known theorem of Debreu about additive representations of preferences is applied in a non-additive context, to characterize continuous subjective expected utility maximization for the case where the probability measures may be non-additive. The approach of this paper does not need the assumption that lotteries with known (objective) probability distributions over consequences are available.

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☆

The views expressed in this paper are those of the author and do not necessarily reflect the policies of the Netherlands Central Bureau of Statistics. This paper is a rewritten version of Chapter VI of Wakker (1986). Part of the research, described in this paper, was done during a stay at the Tel Aviv University, Department of Economics, with financial support from the Netherlands Organization for the Advancement of Pure Research (Z.W.O.). The research topic of this paper was suggested to the author by D. Schmeidler. An anonymous referee gave helpful comments.

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