Abstract
Ordinal utilities are often used in investigating different types of efficient solutions in the multiple objective programming literature. The use of ordinal utilities implies that the decision making process does not involve risky alternatives, and very few of the important decisions in the real world can be successfully made without carefully considering the risk phenomenon. This paper examines the multiple objective programming problem by taking a decision maker's preferences and risk attitudes into account. The characterization of a particular type of efficiency, proper efficiency, is made via optimizing the associated utility-related scalar problems.