Generalized Utility Independence and Some Implications

Abstract

This paper introduces the concept of generalized utility independence. Subject to various generalized utility independence assumptions, we derive three functional forms for a multiattribute von Neumann-Morgenstern utility function u . These are the additive, the multiplicative, and the quasi-additive forms, each of which expresses u as a combination of utility functions defined on the separate attributes. It is demonstrated that if u is unbounded from above and below, then given the three forms, either reversal of preferences over some attributes occurs or else the additive form must hold.