Common mathematical foundations of expected utility and dual utility theories

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.

MoreLess

Year of publication:	2012-03-01
Authors:	Dentcheva, Darinka ; Ruszczynski, Andrzej

freely available

Full text |

More access options

Check Google Scholar

In German libraries (KVK)

I need help

More details

Type of publication:	Book / Working Paper
Language:	English
Notes:	Dentcheva, Darinka and Ruszczynski, Andrzej (2012): Common mathematical foundations of expected utility and dual utility theories.
Classification:	C0 - Mathematical and Quantitative Methods. General
Source:	BASE

Persistent link: https://www.econbiz.de/10015234674