Lexicographic choice functions

We show that choice functions based on sets of desirable options (gambles) satisfy Seidenfeld's convexity axiom only for very particular types of sets of desirable options, which are exactly those that are representable by lexicographic probability systems that have no non-trivial Savage-null events. We call them lexicographic choice functions. Finally, we prove that these choice functions can be used to determine the most conservative convex choice function associated with a given binary relation.