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Journal Article

Finite State Space and Expected Utility Maximization

Bernt P. Stigum
Econometrica
Vol. 40, No. 2 (Mar., 1972), pp. 253-259
Published by: The Econometric Society
DOI: 10.2307/1909404
Stable URL: http://www.jstor.org/stable/1909404
Page Count: 7
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Finite State Space and Expected Utility Maximization
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Abstract

In 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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