Decision-making under risk: when is utility-maximization equivalent to risk-minimization?

Francesco Ruscitti, Ram Sewak Dubey, Giorgio Laguzzi

Research output: Contribution to journalArticlepeer-review


Motivated by the analysis of a general optimal portfolio selection problem, which encompasses as special cases an optimal consumption and an optimal debt-arrangement problem, we are concerned with the questions of how a personality trait like risk-perception can be formalized and whether the two objectives of utility-maximization and risk-minimization can be both achieved simultaneously. We address these questions by developing an axiomatic foundation of preferences for which utility-maximization is equivalent to minimizing a utility-based shortfall risk measure. Our axiomatization hinges on a novel axiom in decision theory, namely the risk-perception axiom.

Original languageEnglish
JournalTheory and Decision
StateAccepted/In press - 2023


  • Coherent risk measure
  • Financial position
  • Fundamental theorem of asset pricing
  • Risk-perception axiom
  • Utility-based shortfall risk measure


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