The Use of Risk and Return Models for Multiattribute Decisions with Decomposable Utilities

Normatively oriented approaches to decision making under uncertainty occupy a major portion of the literature of decision analysis. Among the proposed approaches, the Von Neumann-Morgenstern expected utility (EU) theory has been the most prominent model of rational choice despite some controversies that surround this model with respect to its descriptive ability as well as the plausibility of utility assessment in actual decision situations [6], [10]. Although most applications of the EU model have been concerned with decisions involving monetary outcomes, its scope is not limited to any particular class of consequences. The basic appeal of the model is attributable partly to its generality in this regard, and, more importantly, to the apparent reasonableness of its preferential axioms.