Utility Independence on Subsets of Product Sets

Published Online:https://doi.org/10.1287/opre.24.2.245

This paper investigates conditions for utility independence in the von Neumann-Morgenstern utility context when the set of consequences is an arbitrary subset of the Cartesian product of two sets. The strongest of three increasingly stronger conditions on preferences between gambles is shown to be necessary and sufficient for utility independence when the consequence set is finite. Examples show that this condition is not generally sufficient when the number of consequences is infinite.

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