Subjective Probability and Stochastic Independence

This paper studies decision-making under uncertainty and introduces a new preference axiom called Subjective Independence . The latter requires some consistency between two forms of stochastic independence that can be inferred from choice behavior. Yet it can also be understood as a purely subjective version of the classical Independence axiom commonly used under risk. The main result presented in this paper uncovers the role that Subjective Independence plays in the axiomatic characterization of Subjective Expected Utility preferences