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Sniffnoy comments on Naturalism versus unbounded (or unmaximisable) utility options - Less Wrong Discussion
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This may be one of those times where it is worth pointing out once again that if you are a utility-maximizer because you follow Savage's axioms then you are not only a utility-maximizer[0], but a utility-maximizer with a bounded utility function.
[0]Well, except that your notion of probability need only be finitely additive.