steven0461 comments on CEV-inspired models - Less Wrong Discussion
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If Alice likes cookies, and Bob likes cookies but hates whippings, this method gives Alice more cookies than Bob. Moreover, the number of bonus cookies Alice gets depends on the properties of whips that nobody ever uses.
(In general, it's proper for properties of counterfactuals to have impact on which decisions are correct in reality, so this consideration alone isn't sufficient to demonstrate that there's a problem.)
You can restrict to a Pareto boundary before normalising - not as mathematically elegant, but indifferent to effects "that nobody ever wants/uses".