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.

中文翻译：

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风险下的决策：效用最大化何时等同于风险最小化？

受对一般最优投资组合选择问题（包括最优消费和最优债务安排问题等特殊情况）分析的启发，我们关注这样的问题：如何将风险感知等人格特质形式化，以及这两者是否能够形式化？效用最大化和风险最小化的目标可以同时实现。我们通过建立偏好的公理基础来解决这些问题，其中效用最大化相当于最小化基于效用的短缺风险度量。我们的公理化取决于决策理论中的一个新公理，即风险感知公理。