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Expected utility without continuity: A comment on Delbaen et al. (2011)

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  • Spinu, Vitalie
  • Wakker, Peter P.

Abstract

This paper presents preference axiomatizations of expected utility for nonsimple lotteries while avoiding continuity constraints. We use results by Fishburn (1975), Wakker (1993), and Kopylov (2010) to generalize results by Delbaen et al. (2011). We explain the logical relations between these contributions for risk versus uncertainty, and for finite versus countable additivity, indicating what are the most general axiomatizations of expected utility existing today.

Suggested Citation

  • Spinu, Vitalie & Wakker, Peter P., 2013. "Expected utility without continuity: A comment on Delbaen et al. (2011)," Journal of Mathematical Economics, Elsevier, vol. 49(1), pages 28-30.
    • Handle: RePEc:eee:mateco:v:49:y:2013:i:1:p:28-30
    DOI: 10.1016/j.jmateco.2012.09.005
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    References listed on IDEAS

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    1. Schmeidler, David, 1971. "A Condition for the Completeness of Partial Preference Relations," Econometrica, Econometric Society, vol. 39(2), pages 403-404, March.
    2. Delbaen, Freddy & Drapeau, Samuel & Kupper, Michael, 2011. "A von Neumann–Morgenstern representation result without weak continuity assumption," Journal of Mathematical Economics, Elsevier, vol. 47(4-5), pages 401-408.
    3. Amit Kothiyal & Vitalie Spinu & Peter Wakker, 2011. "Prospect theory for continuous distributions: A preference foundation," Journal of Risk and Uncertainty, Springer, vol. 42(3), pages 195-210, June.
    4. Kopylov, Igor, 2010. "Simple axioms for countably additive subjective probability," Journal of Mathematical Economics, Elsevier, vol. 46(5), pages 867-876, September.
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    Citations

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    Cited by:

    1. Harin, Alexander, 2014. "Problems of utility and prospect theories. Certainty effect near certainty," MPRA Paper 61026, University Library of Munich, Germany.
    2. Harin, Alexander, 2014. "Problems of utility and prospect theories. A discontinuity of Prelec’s function," MPRA Paper 61027, University Library of Munich, Germany.

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