On the Independence of Irrelevant Assets: McEntire's Conjecture
证明McEntire在1984年提出的猜想——所有凹效用函数都满足无关资产独立性——是错误的，并给出多类违反该性质的效用函数。
In his 1984 paper in Management Science, McEntire conjectured that all concave utility functions satisfy his independence-from-irrelevant-assets (IIA) property. This paper shows that this conjecture is false. The paper provides several families of utility functions, all of whose members violate the IIA property; moreover, it is shown that the set of utility functions violating the IIA property is quite large, and that it is widespread throughout the entire space of utility functions.