SUBJECTIVE EXPECTED LEXICOGRAPHIC UTILITY - AXIOMS AND ASSESSMENT

The theory of subjective expected lexicographic utility brings togethe r two classical developments in expected utility theory. The first is Hausner's theory of expected lexicographic utility in decision under r isk. The second is a lottery-based theory of subjective expected utili ty in decision under uncertainty that was first axiomatized by Anscomb e and Aumann. Our synthesis of the two produces representations of pre ference in decision under uncertainty in which utilities are finite-di mensional real vectors ordered lexicographically and subjective probab ilities are real matrices. Axiomatizations of subjective expected lexi cographic utility are described for finite and infinite sets of states . Procedures for assessing vector utilities and matrix probabilities a re outlined.