Common Mathematical Foundations of Expected Utility and Dual Utility Theories

23 Pages Posted: 21 Nov 2012

See all articles by Darinka Dentcheva

Darinka Dentcheva

affiliation not provided to SSRN

Andrzej Ruszczynski

Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick

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

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

Darinka Dentcheva

affiliation not provided to SSRN ( email )

Andrzej Ruszczynski (Contact Author)

Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick ( email )

94 Rockefeller Road
Piscataway, NJ 08854
United States

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