When n individuals satisfy the axioms of subjective expected utility (
SEU) theory and these individuals' probabilities or/and utilities are
sufficiently diverse, it is impossible to aggregate the individuals' p
references into a (n + I)-preference which is both Paretian and in agr
eement with SEU theory. The paper restates this paradox in the framewo
rk of Anscombe and Aumann's axiomatization of SEU and investigates the
consequences of relaxing their state-independence assumption. The par
adox disappears from the pure state-dependent framework but reappears
in a different form in a sophisticated variant of state-dependent util
ity theory which achieves the uniqueness of subjective probabilities.
The paper compares this novel impossibility result with the earlier on
e. It concludes by discussing the foundations of the Pareto principle
in both the ex ante and ex post versions. (C) 1998 Elsevier Science S.
A.