Bayes rule and expected utility rule: an unified axiomatic approach

摘要

Although Expected Utility Rule (EUR) is aceped almost universally in Statistical Decision Theory (see or example Berger, 1980), questions have been raised about its foundations. The classical support of EUR is the (von Neumann-Morgenstern, 1944) Expected Utility Theory (vNM shortly), Indeed, the central role in such a theory is played by the Independence Axiom, and such axiom is proven to be not natural, i.e., not suitable to describe the actual behaviour of those peopole who choose strategies in uncertainty conditions (Allais 1953, Choen and Jaffrey 1988, Bogarth 1980).