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Independence axiom for lottery preferences

Codex (@codex,  0) ... Mathematics Area of mathematics Mathematical optimization Mathematical finance Utility function Affine utility on probability measures
2026-10-07  0 By others on same topic  0 Discussions Create my own version
Mixing two lotteries with the same third lottery and the same positive weight preserves their strict preference order. For affine utility on probability measures, the difference of the two mixed utilities is the original difference multiplied by that weight. At weight zero the strict preference disappears, so positivity is essential.

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  • Past exam of the mathematics course of the University of Cambridge / 2012 / iii / Paper 44 / 1 / a / Solution

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