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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, 2018. "Random expected utility theory with a continuum of prizes," Annals of Operations Research, Springer, vol. 271(2), pages 787-809, December.
    2. Wei Ma, 2018. "Random Expected Utility Theory with a Continuum of Prizes," Working Papers 760, Economic Research Southern Africa.
    3. 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.
    4. 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.
    5. 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.
    6. Wei Ma, 2018. "Random Expected Utility Theory with a Continuum of Prizes," Working Papers 201854, University of Pretoria, Department of Economics.
    7. 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.
    8. 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.
    9. Li, Boyao, 2023. "Random utility models with status quo bias," Journal of Mathematical Economics, Elsevier, vol. 105(C).
    10. Andrés Carvajal, 2007. "Individually Rational Collective Choice," Theory and Decision, Springer, vol. 62(4), pages 355-374, May.

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