The subjectively weighted linear model using Bayesian approach

In this study, the authors develop a revised model as well as an application of decision making with ambiguity based on the subjectively weighted linear utility model. Bayes’ rule is used when there are ambiguous probabilities on a decision problem and test information is available. A procedure for assessing the ambiguity aversion function is also presented. Decision problem of chemical corporation is used for an illustration of the application of the subjectively weighted linear utility model using Bayesian approach. The authors present the optimal decision using newly developed model. They also perform the sensitivity analysis to assure themselves about the conclusion they obtained on degree of ambiguity aversion and to characterize parameter of subjectively weighted linear utility model. [In Korean.]