Nonlinear Preference and Utility Theory

The book attempts to make sense of recent and not-so-recent developments in preference theory for risky and uncertain decisions. It is arranged in two main parts: Chapters 1 through 6 focus on decision under risk; Chapters 7 through 9 on decision under uncertainty. Each main part answers three questions: (1) What is the expected utility?; (2) What is wrong with it from a rational preference perspective? and (3) What has been proposed to correct the problems? The book is intended for graduate students and research workers in mathematics, economics, statistics, operations research, psychology and related fields that are interested in the foundations and potential applications of decision making under risk and uncertainty.