Classical subjective expected utility.

We consider decision makers who know that payoff-relevant observations are generated by a process that belongs to a given class M, as postulated in Wald [Wald A (1950) Statistical Decision Functions (Wiley, New York)]. We incorporate this Waldean piece of objective information within an otherwise subjective setting à la Savage [Savage LJ (1954) The Foundations of Statistics (Wiley, New York)] and show that this leads to a two-stage subjective expected utility model that accounts for both state and model uncertainty.