Econometrica: Jul, 1992, Volume 60, Issue 4
A More Robust Definition of Subjective Probability
https://www.jstor.org/stable/2951565
p. 745-780
David Schmeidler, Mark J. Machina
The goal of choice-theoretic derivations of subjective probability is to separate a decision maker's underlying beliefs (subjective probabilities of events) from their preferences (attitudes toward risk). Classical derivations have all relied upon some form of the Marschak-Samuelson "Independence Axiom" or the Savage "Sure-Thing Principle," which imply that preferences over lotteries conform to the expected utility hypothesis. This paper presents a choice-theoretic derivation of subjective probability, in a Savage-type setting of purely subjective uncertainty, which neither assumes nor implies that the decision maker's preferences over lotteries necessarily conform to the expected utility hypothesis.