A Derivation of Expected Utility Maximization in the Context of a Game

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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 derived in another context, the utility matrix derived in the game will incorporate all psychological or sociological determinants of wellbeing that result from the very fact that the outcomes are obtained in a given game.

Original languageEnglish
Title of host publicationCase-Based Predictions
Subtitle of host publicationAn Axiomatic Approach to Prediction, Classification and Statistical Learning
PublisherTaylor and Francis
Number of pages18
ISBN (Electronic)9789814366182
ISBN (Print)981436617X, 9789814366175
StatePublished - 1 Jan 2012


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