On the Independence of Irrelevant Assets: McEntire's Conjecture

In his 1984 paper in Management Science, McEntire conjectured that all concave utility functions satisfy his independence-from-irrelevant-assets (IIA) property. This paper shows that this conjecture is false. The paper provides several families of utility functions, all of whose members violate the IIA property; moreover, it is shown that the set of utility functions violating the IIA property is quite large, and that it is widespread throughout the entire space of utility functions.

• 저널Management Science · 37(3) · 301–306
• 토픽Economic Theory and Policy · General Economics, Econometrics and Finance
• DOI10.1287/mnsc.37.3.301
• 저자Raj Deb, Josef Hadar, Tae Kun Seo