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The Random Utility Model with an Infinite Choice Space

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  • Clark, Stephen A

Abstract

This essay presents a measure-theoretic version of the random utility model with no substantive restrictions upon the choice space. The analysis is based upon DeFinetti's Coherency Axiom, which characterizes a set function as a finitely additive probability measure. The central result is the equivalence of the random utility maximization hypothesis and the coherency of the choice probabilities over all allowable constraint sets.

Suggested Citation

  • Clark, Stephen A, 1996. "The Random Utility Model with an Infinite Choice Space," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 7(1), pages 179-189, January.
    • Handle: RePEc:spr:joecth:v:7:y:1996:i:1:p:179-89
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    Cited by:

    1. Wei Ma, 2023. "Random dual expected utility," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 75(2), pages 293-315, February.
    2. Simone Cerreia-Vioglio & David Dillenberger & Pietro Ortoleva & Gil Riella, 2019. "Deliberately Stochastic," American Economic Review, American Economic Association, vol. 109(7), pages 2425-2445, July.
      • Simone Cerreia-Vioglio & David Dillenberger & Pietro Ortoleva & Gil Riella, 2012. "Deliberately Stochastic," PIER Working Paper Archive 17-013, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 25 May 2017.
    3. Wei Ma, 2018. "Random Expected Utility Theory with a Continuum of Prizes," Working Papers 201854, University of Pretoria, Department of Economics.
    4. Tahir Choulli & Sina Yansori, 2022. "Log-optimal and numéraire portfolios for market models stopped at a random time," Finance and Stochastics, Springer, vol. 26(3), pages 535-585, July.
    5. Li, Boyao, 2023. "Random utility models with status quo bias," Journal of Mathematical Economics, Elsevier, vol. 105(C).
    6. Wei Ma, 2018. "Random expected utility theory with a continuum of prizes," Annals of Operations Research, Springer, vol. 271(2), pages 787-809, December.
    7. Wei Ma, 2018. "Random Expected Utility Theory with a Continuum of Prizes," Working Papers 760, Economic Research Southern Africa.
    8. Tahir Choulli & Sina Yansori, 2018. "Log-optimal portfolio and num\'eraire portfolio for market models stopped at a random time," Papers 1810.12762, arXiv.org, revised Aug 2020.
    9. Tahir Choulli & Sina Yansori, 2018. "Explicit description of all deflators for market models under random horizon with applications to NFLVR," Papers 1803.10128, arXiv.org, revised Feb 2021.
    10. Andrés Carvajal, 2007. "Individually Rational Collective Choice," Theory and Decision, Springer, vol. 62(4), pages 355-374, May.

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