A combination of expected utility and maxmin decision criteria

A new explanation of the Allais paradox is suggested. A decision rule representable by an increasing function of the expected utility and the minimum utility is axiomatized. The lexicographic separability of this function is also discussed and axiomatized.

[1]  M. Machina,et al.  Decision-Making in the Presence of Risk , 1987, Science.

[2]  M. Machina.  "Expected Utility" Analysis without the Independence Axiom , 1982 .

[3]  R. M. Adelson,et al.  Utility Theory for Decision Making , 1971 .

[4]  A. Tversky,et al.  Prospect Theory : An Analysis of Decision under Risk Author ( s ) : , 2007 .

[5]  A. Tversky,et al.  Prospect theory: analysis of decision under risk , 1979 .

[6]  D. Schmeidler.  Integral representation without additivity , 1986 .

[7]  J. Quiggin.  A theory of anticipated utility , 1982 .

[8]  Peter C. Fishburn,et al.  Utility theory for decision making , 1970 .

[9]  I. Gilboa.  Expected utility with purely subjective non-additive probabilities , 1987 .

[10]  J. Neumann,et al.  Theory of games and economic behavior , 1945, 100 Years of Math Milestones.

[11]  Eddie Dekel.  An axiomatic characterization of preferences under uncertainty: Weakening the independence axiom , 1986 .

[12]  David Schmeidleis.  SUBJECTIVE PROBABILITY AND EXPECTED UTILITY WITHOUT ADDITIVITY , 1989 .

[13]  M. Yaari.  The Dual Theory of Choice under Risk , 1987 .

[14]  Peter C. Fishburn,et al.  Uncertainty Aversion and Separated Effects in Decision Making Under Uncertainty , 1988 .

[15]  David Lindley,et al.  Statistical Decision Functions , 1951, Nature.

[16]  M. Allais.  Le comportement de l'homme rationnel devant le risque : critique des postulats et axiomes de l'ecole americaine , 1953 .

[17]  Uzi Segal,et al.  Nonlinear Decision Weights with the Independence Axiom , 1984 .

[18]  J. Jaffray.  Choice under risk and the security factor: An axiomatic model , 1988 .