Classical Subjective Expected Utility
By Simone Cerreia-Vioglio, Fabio Maccheroni, Massimo Marinacci and Luigi Montrucchio
We consider decision makers that know that payo¤ relevant observations are generated by a process that belongs to a given class M, as postulated in Wald . We incorporate this Waldean piece of objective information within an otherwise subjective setting a la Savage  and show that this leads to a two-stages subjective expected utility model that accounts for both state and model uncertainty.
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