Expected multi-utility representations of preferences over lotteries

TL;DR

This paper characterizes when a preference relation over lotteries can be represented by a set of utility functions, providing conditions for countable outcome sets and discussing implications of continuity assumptions.

Contribution

It offers necessary and sufficient conditions for multi-utility representations over countable outcomes, addressing an open question and exploring the impact of continuity on utility sets.

Findings

Existence of multi-utility representations characterized for countable outcome sets.

Uniqueness of the utility set under certain conditions.

Continuity assumptions influence the properties of utility functions in the representation.

Abstract

Let $\succsim$ be a binary relation on the set of simple lotteries over a countable outcome set $Z$. We provide necessary and sufficient conditions on $\succsim$ to guarantee the existence of a set $U$ of von Neumann--Morgenstern utility functions $u: Z\to \mathbf{R}$ such that $$ p\succsim q \,\,\,\Longleftrightarrow\,\,\, \mathbf{E}_p[u] \ge \mathbf{E}_q[u] \,\text{ for all }u \in U $$ for all simple lotteries $p,q$. In such case, the set $U$ is essentially unique. Then, we show that the analogue characterization does not hold if $Z$ is uncountable. This provides an answer to an open question posed by Dubra, Maccheroni, and Ok in [J. Econom. Theory~\textbf{115} (2004), no.~1, 118--133]. Lastly, we show that different continuity requirements on $\succsim$ allow for certain restrictions on the possible choices of the set $U$ of utility functions (e.g., all utility functions are bounded), providing a wide family of expected multi-utility representations.