Decision under uncertainty and decision models
Ects : 3
Enseignant responsable :
Volume horaire : 15Description du contenu de l'enseignement :
Most economic decisions are taken in an uncertain environment, in which the consequences of decisions are not known with certainty, such as investment or insurance decisions. This course aims to introduce the fundamental concepts of decision theory in an uncertain environment, as well as classical resolution models.
Compétence à acquérir :
- Introduction : concepts of uncertainty, risk, and preference.
- EU and SEU models and attitudes towards risk.
- Descriptive limits of EU and some extensions (RDU, CEU,...).
- Sequential decision making.
- Classic decision criteria for decision making under uncertainty (Wald, Hurwicz, Laplace,...), and possibilistic decision making.
Mode de contrôle des connaissances :
A 2-hour written exam.
Bibliographie, lectures recommandées
- von Neumann, John and Oskar Morgenstern,Theory of Games and Economic Behaviour, Princeton University Press, 1947.
- Savage, Leonard J., The Foundations of Statistics, Dover, 1954.
- Gilboa, Itzhak, Theory of decision under Uncertainty, Cambridge University Press, 2009.