Econometrica: Mar 1972, Volume 40, Issue 2
Finite State Space and Expected Utility Maximization
Bernt P. StigumIn this paper we give necessary and sufficient conditions such that a decision maker who operates in a world in which finitely many states of nature can occur has an increasing, strictly concave utility function U(.) and a subjective probability measure P(.) and such that he chooses among acts with uncertain outcomes according to the expected value of U(.) (with respect to P(.)) which they offer him.
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