In the last chapter of his book “Utility Theory for Decision Making,” Peter Fishburn published a concise rendering of Leonard Savage’s proof that “rational” preferences over events implied that one behaved “as if” he (or she) was obeying Expected Utility Theory. He furthermore proved that following Savage’s axioms implied that your utility function is bounded (he attributes this extension of the proof, in its essence, to Savage). So Subjective Expected Utility Theory has an answer to the St. Petersburg Paradox “built in” to its axioms. That seems like a point well worth mentioning in this article.
In the last chapter of his book “Utility Theory for Decision Making,” Peter Fishburn published a concise rendering of Leonard Savage’s proof that “rational” preferences over events implied that one behaved “as if” he (or she) was obeying Expected Utility Theory. He furthermore proved that following Savage’s axioms implied that your utility function is bounded (he attributes this extension of the proof, in its essence, to Savage). So Subjective Expected Utility Theory has an answer to the St. Petersburg Paradox “built in” to its axioms. That seems like a point well worth mentioning in this article.