An Ordinal Utility of Moments for Decisions under Uncertainty

During the last 50 years, a considerable effort has been devoted to connecting the expected utility approach to a utility function directly expressed in terms of moments of the probability distribution of an uncertain prospect. We follow the alternative route of providing, for the first time, the theoretical, autonomous foundation of an ordinal utility function of moments, representing rational choices under uncertainty, free of any independence axiom and compatible with many paradoxes of choice and behavior, well documented in the literature.