Expected Utility Hypothesis
- Selected References -

Magister Ludi

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A. Alchian (1953) "The Meaning of Utility Measurement", American Economic Review, Vol. 43, p.26-50.

M. Allais (1953) "La psychologie de l'home rationnel devant le risque: critique des postulats et axiomes de l'école Américaine", Econometrica, Vol. 21 (4), p.503-46. Translated and reprinted in Allais and Hagen, 1979.

M. Allais (1979) "The So-Called Allais Paradox and Rational Decisions under Uncertainty", in Allais and Hagen, 1979.

M. Allais and O. Hagen (1979), editors, Expected Utility Hypotheses and the Allais Paradox. Dordrecht: D. Reidel.

B. Allen (1987) "Smooth Preferences and the Approximate Expected Utility Hypothesis", Journal of Economic Theory, Vol. 41, p.340-55.

F.J. Anscombe and R.J. Aumann (1963) "A Definition of Subjective Probability", Annals of Mathematical Statistics, Vol. 34, p.199-205.

K.J. Arrow (1951) "Alternative Approaches to the Theory of Choice in Risk-Taking Situations",Econometrica, Vol. 19, p.404-37.

K.J. Arrow (1953) "The Role of Securities in the Optimal Allocation of Risk-Bearing", Econometrie; as translated and reprinted in 1964, Review of Economic Studies, Vol. 31, p.91-6.

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K.J. Arrow (1965) Aspects of the Theory of Risk-Bearing. Helsinki: YrjEHahnsson Foundation.

W.J. Baumol (1951) "The Neumann-Morgenstern Utility Index: an ordinalist view", Journal of Political Economy, Vol. 59 (1), p.61-6.

W.J. Baumol (1958) "The Cardinal Utility which is Ordinal", Economic Journal, Vol. 68, p.665-72.

T. Bayes (1763) An Essay Towards Solving a Problem in the Doctrine of Chances. Reprinted 1970, in Pearson and Kendall, editors, Studies in the History of Statistics and Probability. London: Griffen.

D.E. Bell (1982) "Regret in Decision-Making under Uncertainty", Operations Research, Vol. 30, p.961-81.

D. Bernoulli (1738) "Exposition of a New Theory on the Measurement of Risk", Comentarii Academiae Scientiarum Imperialis Petropolitanae, as translated and reprinted in 1954, Econometrica, Vol. 22, p.23-36.

J. Bernoulli (1713) Ars Conjectandi. Basel.

K. Borch (1968) The Economics of Uncertainty. Princeton, NJ: Princeton University Press.

R. Carnap (1950) The Logical Foundations of Probability Theory. 1962 edition, Chciago: University of Chicago Press.

S.H. Chew and K.R. MacCrimmon (1979) "Alpha-nu Choice Theory: A generalization of expected utility theory", Working Paper No. 669, University of British Columbia, Vancouver.

S.H. Chew (1983) "A Generalization of the Quasilinear Mean with Applications to the Measurement of Income Inequality and Decision Theory Resolving the Allais Paradox", Econometrica, Vol. 51, p.1065-92.

S.H. Chew, E. Karni and Z. Safra (1987) "Risk Aversion and the Theory of Expected Utility with Rank-Dependent Probabilities", Journal of Economic Theory, Vol. 42, p.370-81.

P. Davidson (1982) "Expectations: A fallacious foundation forstudying crucial decision-making processes." Journal of Post Keynesian Economics. Vol. 5 (1), p.182-97.

P. Davidson (1991) "Is Probability Theory Relevant for Uncertainty? A Post Keynesian perspective", Journal of Post Keynesian Economics. Vol. 13 (1), p.129-43.

G. Debreu (1959) Theory of Value: An axiomatic analysis of economic equilibrium. New Haven: Yale University Press.

P. Diamond and M. Rothschild (1978), editors, Uncertainty in Economics: Readings and exercises. New York: Academic Press.

P. Diamond and J.E. Stiglitz (1974) "Increases in Risk and in Risk Aversion", Journal of Economic Theory, Vol. 8, p.337-60.

J.H. Drèze (1961) "Le foundements logique de l'utilitEcardinale et de la probabilitEsubjective", La Décision. Paris: CRNS. Translated and reprinted as "Decision Theory with Moral Hazard and State-Dependent Preferences", in Drèze, 1987, Essays on Economic Decisions under Uncertainty. Cambridge: Cambridge University Press.

J.H. Drèze (1974) "Axiomatic Theories of Choice, Cardinal Utility and Subjective Probability: A review", in Drèze, editor, Allocation under Uncertainty: Equilibrium an optimality. New York: Wiley.

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F.Y. Edgeworth (1911) "Probability and Expectation", Enyclopaedia Britannica. As reprinted in Mirowski.

J. Eatwell, M. Milgate and P. Newman (1990), editors, The New Palgrave: Utility and Probability. New York: Norton.

R. Eisner and R.H. Strotz (1961) "Flight Insurance and the Theory of Choice", Journal of Political Economy, Vol. 69, p.355-68.

D. Ellsberg (1954) "Classic and Current Notions of "Measurable Utility"", Economic Journal, Vol. 64, p.528-56.

D. Ellsberg (1961) "Risk, Ambiguity and the Savage Axioms", Quarterly Journal of Economics, Vol. 75, p.643-69.

B. de Finetti (1931) "Sul significato soggettivo della probabilita", Fundamenta Mathematicae, Vol. 17, p.298-329.

B. de Finetti (1937) "Foresight: its logical laws, its subjective sources", Annales de l'Institut Henri PoincarE/i>, as translated in 1964, in Kyburg and Smokler, editors, Studies in Subjective Probability. New York: Wiley.

P.C. Fishburn (1970) Utility Theory for Decision-Making. New York: Wiley.

P. C. Fishburn (1982) The Foundations of Expected Utility. Dordrecht: D. Reidel.

P.C. Fishburn (1982) "Non-Transitive Measurable Utility", Journal of Economic Theory, Vol. 26, p.31-67.

P.C. Fishburn (1983) "Transitive Measurable Utility", Journal of Economic Theory, Vol. 31, p.293-317.

P.C. Fishburn (1988) Non-Linear Preference and Utility Theory. Baltimore: Johns Hopkins University Press.

P.C. Fishburn (1994) "Utility and Subjective Probability", in R.J. Aumann and S. Hart, editors, Handbook of Game Theory, Vol. II. Amsterdam: North-Holland.

I. Fisher (1906) The Nature of Capital and Interest. New York: Macmillan.

M. Friedman and L.P. Savage (1948) "The Utility Analysis of Choices involving Risk", Journal of Political Economy, Vol. 56, p.279-304.

M. Friedman and L.P. Savage (1952) "The Expected-Utility Hypothesis and the Measurability of Utility", Journal of Political Economy, Vol. 60, p.463-74.

N. Georgescu-Roegen (1954) "Choice, Expectations and Measurability", Quarterly Journal of Economics, Vol. 64, p.503-34, as reprinted in Georgescu-Roegen, 1966.

N. Georgescu-Roegen (1958) "The Nature of Expectation and Uncertainty", in Bowman, editor, Expectations, Uncertainty and Business Behavior, New York: Social Science Research Council, as reprinted in Georgescu-Roegen, 1966.

N. Georgescu-Roegen (1966) Analytical Economics: Issues and Problems. Cambridge, Mass: Harvard University Press.

I.J. Good (1950) Probability and the Weighing of Evidence. London: Charles Griffin.

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J. Hadar and W. Russell (1969) "Rules for Ordering Uncertain Prospects", American Economic Review, Vol. 59, p.25-34.

O. Hagen (1972) "A New Axiomatization of Utility under Risk", Theorie A Metoda, Vol. 4, p.55-80.

O. Hagen (1979) "Towards a Positive Theory of Preferences Under Risk", in Allais and Hagen, 1979.

G. Hanoch and H. Levy (1969) "The Efficiency Analysis of Choices involving Risk", Review of Economic Studies, Vol. 36, p.335-46.

J. Harsanyi (1968) "Games with Incomplete Information Played by "Bayesian" Players, Parts I, II, III", Management Science, Vol.

I.N. Herstein and J. Milnor (1953) "An Axiomatic Approach to Measurable Utility", Econometrica, Vol. 21, p.291-97.

J.D. Hey (1979) Uncertainty in Economics. New York: New York University Press.

J.D. Hey (1981) Economics in Disequilibrium. New York: New York University Press.

J.D. Hey and P.J. Lambert (1987), editors, Surveys in the Economics of Uncertainty. Oxford: Blackwell.

A.G. Hart (1942) "Risk, Uncertainty and the Unprofitability of Compounding Probabilites", in Lange et al., editors, Studies in Mathematical Economics and Econometrics. Chicago: University of Chicago Press.

J. Hicks (1931) "The Theory of Uncertainty and Profit", Economica, Vol. 11, p.170-89.

J. Hicks (1962) "Liquidity", Economic Journal, Vol. 72, p.787-802.

J. Hirschleifer (1965) "Investment Decision under Uncertainty: Choice-theoretic approaches", Quarterly Journal of Economics, Vol. 79, p.509-36.

J. Hirshleifer (1966) "Investment Decision under Uncertainty: Applications of the state-preference approach", Quarterly Journal of Economics, Vol. 80, p.252-77.

J. Hirshleifer and J.G. Riley (1979) "The Analytics of Uncertainty and Information: An expository survey", Journal of Economic Literature, Vol. 17, p.1375-421.

J. Hirshleifer and J.G. Riley (1992) The Analytics of Uncertainty and Information. Cambridge, UK: Cambridge University Press.

C. Holt (1986) "Preference Reversals and the Independence Axiom", American Economic Review, Vol. 76 (3), p.508-15.

N.E. Jensen (1967) "An Introduction to Bernoullian Utility Theory, I: Utility functions", Swedish Journal of Economics, Vol. 69, p.163-83.

D. Kahneman and A. Tversky (1979) "Prospect Theory: an analysis of decision under risk", Econometrica, Vol. 47 (2), p.263-91.

M. Kalecki (1937) "The Principle of Increasing Risk", Economica, Vol. 17, p.440-7.

U.S. Karmarkar (1978) "Subjectively Weighted Utility: A descriptive extension of the expected utility model", Organizational Behavior and Human Performance, Vol. 21, p.61-72.

E. Karni (1985) Decision Making Under Uncertainty: The case of state-dependent preferences. Cambridge, Mass: Harvard University Press.

E. Karni (1996) "Probabilities and Beliefs", Journal of Risk and Uncertainty, Vol. 13, p.249-62.

E. Karni and Z. Safra (1986) "Preference Reversals and the Observability of Preferences by Experimental Methods", Economic Letters, Vol. 20 (1), p.15-18.

E. Karni and Z. Safra (1987) "Preference Reversals and the Observability of Preferences by Experimental Methods", Econometrica, Vol. 51, p.675-85.

E. Karni and D. Schmeidler (1991) "Utility Theory with Uncertainty", in Hildenbrand and Sonnenschein, editors, Handbook of Mathematical Economics, Vol. IV. Amsterdam: North-Holland.

E. Karni, D. Schmeidler and K. Vind (1983) "On State-Dependent Preferences and Subjective Probabilities", Econometrica, Vol. 51 (4), p.1021-31.

J.M. Keynes (1921) A Treatise on Probability. 1973 edition, Vol. 8 of Collected Writings. New York: St Martin's.

J.M. Keynes (1936) The General Theory of Employment, Interest and Money. 1964 reprint, New York: Harcourt Brace.

J.M. Keynes (1937) "The General Theory of Employment", Quarterly Journal of Economics, Vol. 51, p.209-23.

R. Kihlstrom and L.J.Mirman (1974) "Risk Aversion with many Commodities", Journal of Economic Theory, Vol. 8, p.361-88.

F.H. Knight (1921) Risk, Uncertainty and Profit. 1933 reprint, London: L.S.E.

B.O. Koopman (1940) "The Axioms and Algebra of Intuitive Probability", Annals of Mathematics, Vol. 41, p.269-92.

B.O. Koopman (1940) "The Basis of Probability", Bulletin of the American Mathematical Society, Vol. 46, p.763-74.

D.M. Kreps (1988) Notes on the Theory of Choice. Boulder, Colo.: Westview.

J.J. Laffont (1989) The Economics of Uncertainty and Information. Cambridge, Mass: M.I.T. Press.

O. Lange (1944) Price Flexibility and Employment. Bloomington, Ind.: Principia Press.

P.S. Laplace (1795) A Philosophical Essay on Probabilities. 1951 translation, New York: Dover.

S. Lichtenstein and P. Slovic (1971) "Reversal of Preferences Between Bids and Choices in Gambling Decisions", Journal of Experimental Psychology, Vol. 89, p.46-55.

S. Lichtenstein and P. Slovic (1973) "Response-Induced Reversals of Preference in Gambling: An extended replication in Las Vegas.", Journal of Experimental Psychology, Vol. 101, p.16-20.

S.M. Lippman and J.H. McCall (1981) "The Economics of Uncertainty: Selected topcis and probabilistic methods", in Arrow and Intriligator, editors, Handbook of Mathematical Economics, Vol. I. Amsterdam: North-Holland.

G. Loomes and R. Sugden (1982) "Regret Theory: An alternative theory of rational choice under uncertainty", Economc Journal, Vol. 92, p.805-24.

G. Loomes and R. Sugden (1985) "Some Implications of a More General Form of Regret Theory", Journal of Economic Theory, Vol. 41, p.270-87.

R.D. Luce and H. Raiffa (1957) Games and Decisions: Introduction and critical survey. 1989 reprint, New York: Dover.

M.J. Machina (1982) ""Expected Utility" Analysis without the Independence Axiom", Econometrica, Vol. 50, p.277-323.

M.J. Machina (1983) "Generalized Expected Utility Analysis and the Nature of Observed Violations of the Independence Axiom", in Stigum and Wenstop, 1983.

M.J. Machina (1987) "Choice under Uncertainty: Problems solved and unsolved", Journal of Economic Perspectives, Vol. 1 (1), p.121-54.

M.J. Machina and W.S. Neilson (1987) "The Ross Characterization of Risk Aversion: Strengthening and extension", Econometrica, Vol. 55 (5), p.1139-50.

H. Makower and J. Marschak (1938) "Assets, Prices and Monetary Theory", Econometrica, Vol. 6, p.311-25.

E. Malinvaud (1952) "Note on von Neumann-Morgenstern's Strong Independence Axiom", Econometrica, Vol. 20 (40), p.679.

H. Markowitz (1952) "The Utility of Wealth", Journal of Political Economy, Vol. 60, p.151-8.

H. Markowitz (1952) "Portfolio Selection", Journal of Finance, Vol. 7, p.77-91.

H. Markowitz (1958) Portfolio Selection: Efficient diversification of investment. New Haven, Conn: Yale University Press.

J. Marschak (1938) "Money and the Theory of Assets", Econometrica, Vol. 6, p.311-25.

J. Marschak (1950) "Rational Behavior, Uncertain Prospects and Measurable Utility", Econometrica, Vol. 18, p.111-41.

J. Marschak (1951) "Why "Should" Statisticians and Businessmen Maximize Moral Expectation?", Proceedings of the Second Berkeley Symposium on Mathematical Statistics and Probability. Berkeley: University of California Press.

A. Marshall (1890) Principles of Economics: An introductory volume. 1990 reprint of 1920 edition, Philadelphia: Porcupine.

C. Menger (1871) Principles of Economics. 1981 translation, New York: New York University Press.

K. Menger (1934) "The Role of Uncertainty in Economics", Zeitschrift fur Nationalökonomie, Vol 5, as translated in Shubik, 1967, editor, Essays in Mathematical Economics. Princeton, NJ: Princeton University Press.

R. von Mises (1928) Probability, Statistics and Truth. 1954 translation, New York: Macmillan.

J. von Neumann and O. Morgenstern (1944) Theory of Games and Economic Behavior. 1953 edition, Princeton, NJ: Princeton University Press.

A.C. Pigou (1912) Economics of Welfare. 1932 (4th) edition. London: Macmillan.

K.R. Popper (1959) "The Propensity Interpretation of Probability", British Journal for the Philosophy of Science, Vol. 10, p.25-42.

K.R. Popper (1959) The Logic of Scientific Discovery. 1968 edition, London: Hutchinson.

J.W. Pratt (1964) "Risk Aversion in the Small and in the Large", Econometrica, Vol. 32, p.122-36.

J. Quiggin (1982) "A Theory of Anticipated Utility", Journal of Economic Behavior and Organization, Vol. 3, p.323-43.

J. Quiggin (1993) Generalized Expected Utility Theory: The Rank-Dependent Expected Utility model. Amsterdam: Kluwer-Nijhoff

F.P. Ramsey (1926) "Truth and Probability", Ch. 7 of 1931, Braithwaite, editor, The Foundations of Mathematics and Other Logical Essays. London: Routledge.

H. Reichenbach (1949) The Theory of Probability. Berkeley: University of California Press.

S.A. Ross (1981) "Some Stronger Measures of Risk Aversion in the Small and in the Large with Applications", Econometrica, Vol. 49 (3), p.621-39.

M. Rothschild and J.E. Stiglitz (1970) "Increasing Risk I: a definition", Journal of Economic Theory, Vol. 2 (3), p.225-43.

M. Rothschild and J.E. Stiglitz (1971) "Increasing Risk II: its economic consequences", Journal of Economic Theory, Vol. 3 (1), p.66-84.

P.A. Samuelson (1950) "Probability and Attempts to Measure Utility", Economic Review, Vol. 1 (3), p.167-73.

P.A. Samuelson (1952) "Probability, Utility and the Independence Axiom", Econometrica, Vol. 20, p.670-8.

L.J. Savage (1954) The Foundations of Statistics. 1972 edition, New York: Dover.

G.L.S. Shackle (1949) Expectation in Economics. 1952 edition, Cambridge: Cambridge University Press.

G.L.S. Shackle, G.L.S. (1955) Uncertainty in Economics: And other reflections. Cambridge, UK: Cambridge University Press.

G.L.S. Shackle (1961) Decision, Order and Time in Human Affairs. 1969 edition, Cambridge: Cambridge University Press.

G.L.S. Shackle (1979) Imagination and the Nature of Choice. Edinburgh: Edinburgh University Press.

G.J. Stigler (1939) "Production and Distribution in the Short Run", Journal of Political Economy, Vol. 47, p.305-28

B.P. Stigum and F. Wenstøp (1983), editors, Foundations of Utility and Risk Theory with Applications. Dordrecht: D. Reidel.

R.H. Strotz (1953) "Cardinal Utility", American Economic Review, Vol. 43, p.384-97.

R. Sugden (1986) "New Developments in the Theory of Choice Under Uncertainty", Bulletin of Economic Research, Vol. 38. Reprinted in Hey and Lambert, 1987.

P. Suppes (1973) "New Foundations of Objective Probability: Axioms for propensities", in Suppes et al., editors, Logic, Methodology and the Philosophy of Science, Vol. 4. Amsterdam: North-Holland.

G. Tintner (1941) "The Theory of Choice under Subjective Risk and Uncertainty", Econometrica, Vol. 9, p.298-304.

G. Tintner (1941) "The Pure Theory of Production under Technological Risk and Uncertainty", Econometrica, Vol. 9, p.305-312.

J. Tobin (1958) "Liquidity Preference as a Behavior toward Risk", Review of Economic Studies, Vol. 25, p.65-86.

A. Wald (1950) Statistical Decision Functions. New York: Wiley.

H. Wold (1952) "Ordinal Preferences or Cardinal Utility", Econometrica, Vol. 20, p.661-64.

M. Yaari (1969) "Some Measures of Risk Aversion and Their Uses", Journal of Economic Theory, Vol. 1 (2), p.315-29.

M. Yaari (1987) "A Dual Theory of Choice Under Risk", Econometrica, Vol. 55, p.95-115.

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