Journal Article

A Single-Stage Approach to Anscombe and Aumann's Expected Utility

Rakesh Sarin and Peter Wakker

in The Review of Economic Studies

Published on behalf of Review of Economic Studies Ltd

Volume 64, issue 3, pages 399-409
Published in print July 1997 | ISSN: 0034-6527
Published online July 1997 | e-ISSN: 1467-937X | DOI: http://dx.doi.org/10.2307/2971720
A Single-Stage Approach to Anscombe and Aumann's Expected Utility

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Anscombe and Aumann showed that if one accepts the existence of a physical randomizing device such as a roulette wheel then Savage's derivation of subjective expected utility can be considerably simplified. They, however, invoked compound gambles to define their axioms. We demonstrate that the subjective expected utility derivation can be further simplified and need not invoke compound gambles. Our simplification is obtained by closely following the steps by which probabilities and utilities are elicited.

Journal Article.  0 words. 

Subjects: Economics

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