Nash Was a First to Axiomatize Expected Utility

6 Pages Posted: 13 Jun 2016

See all articles by Han Bleichrodt

Han Bleichrodt

Erasmus University Rotterdam (EUR) - Institute of Health Policy and Management

Chen Li

Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

Ivan Moscati

University of Insubria - Department of Economics

Peter P. Wakker

Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

Date Written: February 15, 2016

Abstract

Nash is famous for many inventions, but it is less known that he, simultaneously with Marschak, also was the first to axiomatize expected utility for risk. In particular, these authors were the first to state the independence condition, a condition that should have been but was not stated by von Neumann and Morgenstern. Marschak’s paper resulted from interactions with several people at the Cowles Commission. We document unique letters and personal communications with Nash, Samuelson, Arrow, Dalkey, and others, making plausible that Nash made his discovery independently from the others.

Keywords: John Nash, Expected utility, Independence preference axiom, Foundations of decision theory, History of decision theory

JEL Classification: B21, B31, D81

Suggested Citation

Bleichrodt, Han and Li, Chen and Moscati, Ivan and Wakker, Peter P., Nash Was a First to Axiomatize Expected Utility (February 15, 2016). Theory and Decision, 2016. Available at SSRN: https://ssrn.com/abstract=2793728

Han Bleichrodt

Erasmus University Rotterdam (EUR) - Institute of Health Policy and Management ( email )

Netherlands

Chen Li

Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) ( email )

P.O. Box 1738
3000 DR Rotterdam, NL 3062 PA
Netherlands

Ivan Moscati

University of Insubria - Department of Economics ( email )

Via Monte Generoso 71
Varese, 21100
Italy

Peter P. Wakker (Contact Author)

Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) ( email )

P.O. Box 1738
3000 DR Rotterdam, NL 3062 PA
Netherlands

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