A Study of Lexicographic Expected Utility

Peter C. Fishburn
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Peter C. Fishburn: Research Analysis Corporation

Management Science, 1971, vol. 17, issue 11, 672-678

Abstract: A relation L on a set of real vectors a, b, ... is a lexicographic order when a L b if and only if a \ne b and for every j such that b j j there is an i i i . A simple and direct derivation is given for a multidimensional utility function whose lexicographically-ordered expected utility vectors preserve an individual's preference order on a set of probability measures. All but one of Hausner's axioms yield an equivalence on the set of preference intervals, and the resulting bet of equivalence classes is shown to account for the hierarchy in the lexicographic structure. A lexicographic utility representation is noted for the finite-dimensional case. When Hausner's other axiom is added, his theorem for lexicographic linear utility is obtained. This theorem is applied to sets of simple and discrete probability measures.

Date: 1971
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