Abstract
Subjective expected utility maximization is derived from four axioms, using an argument based on the separating hyperplane theorem. It is also shown that the first three of these axioms imply a more general maximization formula, involving an evaluation function, which can still serve as a basis for decision analysis.
Similar content being viewed by others
References
Anscombe, F. J. and Aumann, R. J., ‘A Definition of Subjective Probability’, Annals of Mathematical Statistics 34 (1963), 199–205.
Fishburn, P. C., ‘Preference-Based Definitions of Subjective Probability’, Annals of Mathematical Statistics 38 (1967), 1605–1617.
Fishburn, P. C., ‘Utility Theory’, Management Science 14 (1968), 335–378.
Fishburn, P. C., Utility Theory for Decision Making, Wiley, New York, 1970.
Fishburn, P. S., ‘Separation Theorems and Expected Utilities’, Journal of Economic Theory 11 (1975), 16–23.
Herstein, I. N. and Milnor, J., ‘An Axiomatic Approach to Measurable Utility’, Econometrica 21 (1953), 291–297.
Knight, F. H., Risk, Uncertainty and Profit, Houghton Mifflin, Boston, 1921.
Luce, R. D. and Raiffa, H., Games and Decisions, Wiley, New York, 1957.
Rockafellar, R. T., Convex Analysis, Princeton University Press, Princeton, 1970.
Savage, L. J., The Foundation of Statistics, Wiley, New York, 1954.
von Neumann, J. and Morgenstern, O., Theory of Games and Economic Behavior, 2nd ed., Princeton University Press, Princeton, 1947.
Wilson, R., ‘The Theory of Syndicates’, Econometrica 38 (1968), 119–132.
Author information
Authors and Affiliations
Rights and permissions
About this article
Cite this article
Myerson, R.B. An axiomatic derivation of subjective probability, utility, and evaluation functions. Theor Decis 11, 339–352 (1979). https://doi.org/10.1007/BF00139446
Issue Date:
DOI: https://doi.org/10.1007/BF00139446