A derivation of expected utility maximization in the context of a game

@article{Gilboa2003ADO,
title={A derivation of expected utility maximization in the context of a game},
author={Itzhak Gilboa and David Schmeidler},
journal={Games and Economic Behavior},
year={2003},
volume={44},
pages={172-182}
}

A decision maker faces a decision problem, or a game against nature. For each probability distribution over the state of the world (nature’s strategies), she has a weak order over her acts (pure strategies). We formulate conditions on these weak orders guaranteeing that they can be jointly represented by expected utility maximization with respect to an almost-unique state-dependent utility, that is, a matrix assigning real numbers to act-state pairs. As opposed to a utility function that is… CONTINUE READING