Action-Independent Subjective Expected Utility without States of the World

This paper develops an axiomatic theory of decision-making under uncertainty that has no state-space. The choice setting follows Karni [1,2]: a set of effects (outcomes), a set of actions which induce these effects, and a set of real-valued bets over effects. In Karni’’s representation, a preference over action/bet pairs yields utility, which is action-dependent. In our representation, utility is action-independent. This is achieved by augmenting Karni’’s choice set with lotteries over actions. Identification is achieved similarly to Anscombe-Aumann [3], in which there are objective ““roulette”” lotteries over subjective ““horse race”” lotteries.