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Working Paper

This is a chapter for the forthcoming Handbook of Rational and Social Choice, Paul Anand, Prasanta Pattanaik, and Clemens Puppe, eds., Oxford University Press, 2008.

The authors review classic normative expected utility theory. Their goal is to frame the subsequent chapters (which consider more modern extensions to and deviations from this classic theory) in a way that is accessible to the non-specialist but also useful to the specialist.

The authors start from scratch with a revealed preference approach to the existence of a utility function. The authors then present the mathematical structure of additive and linear utility representations and their axiomatizations, in the context of abstract choice theory and using intertemporal choice as a source of examples. The authors are thus able to focus on this mathematical structure without the interference of the specific interpretation and notation for decision under uncertainty.

Furthermore, this approach allows us to focus on the interpretation of the axioms when we turn to decision under uncertainty.

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