A central paradox in neorealism is that the absence of world government is assumed to imply a dangerous security dilemma, and yet few realists have argued in favor of world government while great powers have historically resisted delegation of military force to supranational institutions. If international anarchy causes costly security competition and war, powerful states should have a strong incentive to unify and neorealist explanations for why states resist peaceful unification are either underdeveloped or implicit. This paper develops a rational choice realist model which suggests that anarchy is not a structural constraint which forces states to compete intensely for power, but a rational choice that state leaders make to avoid the costs of world government. The model assumes that state leaders face a delegation constraint which implies a tradeoff between eliminating the military burden necessary to deter attacks in anarchy, and abstain from world government to avoid forced redistribution of material resources pushed by poorer states or risk that the world government might turn tyrannical and coerce the subjects it has been mandated to protect. The paper uses deductive method to deduce actor preferences and illustrate the plausibility of the central predictions of the model. The model predicts that income equality, democratization, nationalism and military defensive advantage makes anarchy stable, a condition under which states have little reason to unify. On the other hand, high income inequality, lack of democratic accountability, territorial revisionism, and military offensive advantage make anarchy costly, but unification more difficult to achieve given the underlying conflicting preferences. Hence, states rather take the risk of fighting in hopes of eliminating future military competition than to agree on a world government where redistribution and cultural conflicts are likely to make wealthy great powers with modest population sizes worse off than they would be in anarchy. The paper concludes that anarchy is not a tragedy that makes world government impossible, but world government is a potential tragedy that makes anarchy rational.