Ž . Games and Economic Behavior 37, 121160 2001 doi:10.1006game.2000.0834, available online at http:www.idealibrary.com on On Money Pumps 1 Robin P. Cubitt and Robert Sugden School of Economic and Social Studies, Uni  ersity of East Anglia, Norwich NR4 7TJ, England Received January 7, 1998; published online August 8, 2001 The question of whether money pump arguments justify standard consistency assumptions about behavior has remained unresolved, partly because of the ab- sence of an appropriate analytical framework. We present a new framework which fills this gap, provide a formal definition of invulnerability to money pumps, and formulate a requirement of maximal opportunism. We show that behavior which satisfies none of the standard consistency assumptions can be both invulnerable and maximally opportunist. We present two conditions which, combined with maximal opportunism, imply the existence of a choice function rationalized by an ordering and satisfying the sure thing principle. Journal of Economic Literature Classification Numbers: B41, C73, D81.  2001 Academic Press Key Words: money pump; Dutch book; sequential decisions; consequentialism; expected utility theory; economic selection. 1. INTRODUCTION Economic theory typically assumes that agents act on preferences which satisfy particular requirements of rational consistency. But what justifies this assumption? One familiar way of answering this question is to use money pump arguments , which appeal to economic selection as the mecha- nism which enforces consistency. According to these arguments, an arbi- trageur would be able to extract money from an inconsistent agent indefinitely, without providing any services in return, by presenting him or her with a carefully chosen sequence of trades. Thus, if these arguments are correct, economic survival requires that agents behave as if they had 1 The research for this paper was funded by the ESRC under Grants L122251024 and L211252053 as part of its research programmes on Economic Beliefs and Behaviour and on Risk and Human Behaviour, respectively. Robert Sugden’s work was also supported by the Leverhulme Trust. We are grateful for helpful comments from Michael Bacharach, Simon Grant, Ehud Kalai, Marco Mariotti, Peter Wakker, an associate editor, two anonymous referees, and to participants at the various conferences and seminars at which we have presented earlier versions of the paper. 121 0899-825601 $35.00 Copyright  2001 by Academic Press All rights of reproduction in any form reserved.