The discussion of principles of rational behavior under uncertainty in Part IV of my 1959 book starts with a variant of L. J. Savage’s axioms. From such axioms it follows that one should choose a strategy which maximizes expected utility for a many-period game. This, in turn, implies that the investor should act each period so as to maximize the expected value of a
single period utility function. This single period utility function may depend on portfolio return and perhaps other state variables. For now, assume that it depends only on portfolio return