From Wald to Savage: Homo Economicus Becomes a Bayesian Statistician
Version of Record online: 16 NOV 2012
© 2012 Wiley Periodicals, Inc.
Journal of the History of the Behavioral Sciences
Volume 49, Issue 1, pages 63–95, Winter 2013
How to Cite
Giocoli, N. (2013), From Wald to Savage: Homo Economicus Becomes a Bayesian Statistician. J. Hist. Behav. Sci., 49: 63–95. doi: 10.1002/jhbs.21579
- Issue online: 16 JAN 2013
- Version of Record online: 16 NOV 2012
Bayesian rationality is the paradigm of rational behavior in neoclassical economics. An economic agent is deemed rational when she maximizes her subjective expected utility and consistently revises her beliefs according to Bayes's rule. The paper raises the question of how, when and why this characterization of rationality came to be endorsed by mainstream economists. Though no definitive answer is provided, it is argued that the question is of great historiographic importance. The story begins with Abraham Wald's behaviorist approach to statistics and culminates with Leonard J. Savage's elaboration of subjective expected utility theory in his 1954 classic The Foundations of Statistics. The latter's acknowledged fiasco to achieve a reinterpretation of traditional inference techniques along subjectivist and behaviorist lines raises the puzzle of how a failed project in statistics could turn into such a big success in economics. Possible answers call into play the emphasis on consistency requirements in neoclassical theory and the impact of the postwar transformation of U.S. business schools.