“Do prudent agents play lotteries? Von Neumann’s contribution to the theory of rational behavior”

The goal of this paper is to analyze the relationship between the two notions of rationality devised by John von Neumann in his classic Theory of Games and Economic Behavior, namely, the minimax and the expected utility rule. It is argued that, when due account is taken of von Neumann’s goal in developing game theory, it turns out that no decision theory is contained in the 1944 book and that the expression “rational behavior” had to him one and only one meaning, that is, to abide by the minimax criterion.