The Origins of expected utility theory

Blaise Pascal — one of the founders of probability theory — is the first scholar to have made an expected utility argument as a principle to guide decisions. I trace the development of this idea through the literature, discussing the contributions of Cramer and Bernoulli, Fechner and Stevens, Dupuit, Gossen, and Jevons, Jordan, Menger, Arrow, and Von Neumannn and Morgenstern. I find that the basic form in which we use expected utility theory today was formulated very early, but it took the research community a surprisingly long time to grasp its full potential.