What do uncertainty-averse decision-makers believe? (Q1865202)

The empirical challenges to the classical subjective expected utility theory cause its permanent reconsideration. The generalization proposed in the present paper is based on the concept of firm belief, having the following advantages: firm beliefs are derived from preferences using epistemic inference, they satisfy standard logical properties, and they are available for all biseparable preferences. The corresponding decision making theory includes the Choquet expected utility theory and maxmin expected utility theory as special cases. On the other hand the proposed theory is less conservative than the original Savage theory. The notion of firm belief is applied to the generalized Nash equilibrium for two player normal form games.