If you’re interested in following up on John’s comments on financial markets, nonexistence of a representative agent, and path dependence, he speaks more about them in his post, Why Subagents?
In practice, path-dependent preferences mostly matter for systems with “hidden state”: internal variables which can change in response to the system’s choices. A great example of this is financial markets: they’re the ur-example of efficiency and inexploitability, yet it turns out that a market does not have a utility function in general (economists call this “nonexistence of a representative agent”). The reason is that the distribution of wealth across the market’s agents functions as an internal hidden variable. Depending on what path the market follows, different internal agents end up with different amounts of wealth, and the market as a whole will hold different portfolios as a result—even if the externally-visible variables, i.e. prices, end up the same.
If you’re interested in following up on John’s comments on financial markets, nonexistence of a representative agent, and path dependence, he speaks more about them in his post, Why Subagents?