Deb, Raj; Hadar, Josef; Seo, Tae Kun On the independence of irrelevant assets: McEntire’s conjecture. (English) Zbl 0727.90010 Manage. Sci. 37, No. 3, 301-306 (1991). Summary: P. L. McEntire [Manage. Sci. 30, 952-963 (1984; Zbl 0551.90003)] 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. MSC: 91B16 Utility theory Keywords:portfolio selection; independence of irrelevant assets; concave utility functions Citations:Zbl 0551.90003 PDFBibTeX XMLCite \textit{R. Deb} et al., Manage. Sci. 37, No. 3, 301--306 (1991; Zbl 0727.90010) Full Text: DOI