Common Mathematical Foundations of Expected Utility and Dual Utility Theories
23 Pages Posted: 21 Nov 2012
Date Written: March 1, 2012
Abstract
We show that the main results of the expected utility and dual utility theories can be derived in a unified way from two fundamental mathematical ideas: the separation principle of convex analysis, and integral representations of continuous linear functionals from functional analysis. Our analysis reveals the dual character of utility functions. We also derive new integral representations of dual utility models.
Keywords: Preferences, Utility Functions, Rank Dependent Utility Functions, Separation, Choquet Representation
Suggested Citation: Suggested Citation
Dentcheva, Darinka and Ruszczynski, Andrzej, Common Mathematical Foundations of Expected Utility and Dual Utility Theories (March 1, 2012). Available at SSRN: https://ssrn.com/abstract=2177996 or http://dx.doi.org/10.2139/ssrn.2177996
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