Abstract
This article gives a preference-based characterization of subjective expected utility for the general equilibrium model with a finite number of states. The characterization follows Savage (1954) as closely as possible but has to abandon his axiom (P6), atomlessness of events, since this requires an infinite state space. To introduce continuity we replace (P6) with a continuity assumption on the set of consequences and assume the preferences are smooth. Then we apply Savage's sure-thing principle and his state-independence axiom to get an additively separable utility representation. Finally, to separate subjective probabilities from basic tastes, we apply a new axiom, which states that for each pair of states the marginal rate of substitution is constant along the certainty line.
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