Generalizations of Seu: A Geometric Tour of Some Non-Standard Models

Abstract

Subjective expected utility (SEU) theory is ubiquitous in models of economic environments involving uncertainty. Part of its appeal is its elegant axiomatization by Anscombe and Aumann, whose representation theorem uses little more than the simple geometry of expected utility. Nevertheless, the elegance of the SEU axioms comes at the cost of significant restrictiveness. Several generalizations of SEU have been developed to address its empirical and conceptual weaknesses. This paper offers a synthesis of these non-standard decision models. For each model, we sketch a proof of its representation theorem that adapts the geometry of Anscombe and Aumann.

JEL Classification: D81