Nash Was a First to Axiomatize Expected Utility
6 Pages Posted: 13 Jun 2016
Date Written: February 15, 2016
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: Suggested Citation