I have tried reading and understanding Savage's proof of the subjective utility representation, it is too complicated. Is anyone aware of a shorter/more elegant proof of this? It is not a problem if we assume a finite prices set.
The original is in Savage, L.J. 1954. The Foundations of Statistics. New York: John Wiley and Sons.
A good summary can be found at http://www.econ2.jhu.edu/people/Karni/savageseu.pdf.
The Savage proof is known to be very elaborate, and long. It uses the sure thing principle as its main axiom. I was wondering if there is a more "modern" proof, that is both elegant and shorter. Or a nice challenge would be to try to prove collaboratively using some modern mathematics, like mixture spaces, (I am aware of Anscombe-Aumann).