Aggregation of Random Expected Utility Preferences in a Large Society

This paper studies the aggregation of random expected utility preferences in a society with a continuum of individuals. We propose a stochastic analogue of the standard Pareto condition: if every individual chooses an item from a menu as frequently as another item, so should society. We show that under this condition, society’s random utility function is a weighted average of those of individuals. We apply this result to the aggregation of experts’ opinions and of probit models under incomplete information