Nice post! Another place where nonlinear utilities have been considered is in technical game theory / regret minimization literature. A consideration for introducing them is computational complexity—while VNM utility applies, it may be inefficient to linearize the utilities in terms of representation and downstream algorithms. An example is here, where a log-utility game is considered due to complexity/efficiency considerations.
Nice post! Another place where nonlinear utilities have been considered is in technical game theory / regret minimization literature. A consideration for introducing them is computational complexity—while VNM utility applies, it may be inefficient to linearize the utilities in terms of representation and downstream algorithms. An example is here, where a log-utility game is considered due to complexity/efficiency considerations.