This paper presents the basic principles of statistical decision theory under complete ignorance and risk. In the first case, we show that the classical choice criteria lead to inadequate decisions according to Milnor’s rationality axioms. In the second case, we present the foundations of expected utility theory, as well as their extensions in terms of risk valuation and multi-attribute choice.
EL OUARDIGHI, F. (1999). La théorie statistique de la décision. I. ESSEC Business School.