Econometrica: Jan 2006, Volume 74, Issue 1
Random Expected Utility
Faruk Gul, Wolfgang PesendorferWe develop and analyze a model of random choice and random expected utility. A is a finite set of lotteries that describe the feasible choices. A associates with each decision problem a probability measure over choices. A is a probability measure over von Neumann–Morgenstern utility functions. We show that a random choice rule maximizes some random utility function if and only if it is , (the probability that a lottery is chosen does not increase when other lotteries are added to the decision problem), (lotteries that are not extreme points of the decision problem are chosen with probability 0), and (satisfies the independence axiom).
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