Where do objective functions come from? How do we select what goals to pursue? Human intelligence is adept at synthesizing new objective functions on the fly. How does this work, and can we endow artificial systems with the same ability? This paper proposes an approach to answering these questions, starting with the concept of a subjective function, a higher-order objective function that is endogenous to the agent (i.e., defined with respect to the agent's features, rather than an external task). Expected prediction error is studied as a concrete example of a subjective function. This proposal has many connections to ideas in psychology, neuroscience, and machine learning.