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

A decision maker faces a decision problem, or a game against na-ture. For each probability distribution over the state of the world (nature’s strategies), she has a weak order over her acts (pure strate-gies). 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 determi-nants of well-being that result from the very fact that the outcomes are obtained in a given game