Nash Was a First to Axiomatize Expected Utility

Nash is famous for many inventions, but it is less known that he, simultaneously with Marschak, also was the first to axiomatize expected utility for risk. In particular, these authors were the first to state the independence condition, a condition that should have been but was not stated by von Neumann and Morgenstern. Marschak’s paper resulted from interactions with several people at the Cowles Commission. We document unique letters and personal communications with Nash, Samuelson, Arrow, Dalkey, and others, making plausible that Nash made his discovery independently from the others.