Compatibility of multiple goal programming and the maximize expected utility criterion

Assuming a decision maker accepts the basic axioms of von Neumann-Morgenstern utility theory and is therefore an expected utility maximizer, this paper argues that the domain of the decision variables in a multiobjective program should be altered in order to guarantee that it will be compatible with the maximize expected utility critierion. Stochastic dominance is employed to approximate this new domain, and for a certain class of decision problems it is shown that this approximation is very good.