In his 1984 paper in Management Science, McEntire conjectured that all concave utility functions satisfy his independence-from-irrelevant-assets (IIA) property. This paper shows that this conjecture is false. The paper provides several families of utility functions, all of whose members violate the IIA property: moreover, it is shown that the set of utility functions violating the IIA property is quite large, and that it is widespread throughout the entire space of utility functions.
