Summary
This essay presents a measure-theoretic version of the random utility model with no substantive restrictions upon the choice space. The analysis is based upon DeFinetti's Coherency Axiom, which characterizes a set function as a finitely additive probability measure. The central result is the equivalence of the random utility maximization hypothesis and the coherency of the choice probabilities over all allowable constraint sets.
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The author expresses gratitude to the participants in the 1990 U.C. Irvine summer workshop in measurement theory, where the germ of the idea for this paper was born, and to Kurt Helmes for invaluable discussion.
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Clark, S.A. The random utility model with an infinite choice space. Econ Theory 7, 179–189 (1996). https://doi.org/10.1007/BF01212189
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DOI: https://doi.org/10.1007/BF01212189