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.

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Year of publication:	2012-03-01
Authors:	Dentcheva, Darinka ; Ruszczynski, Andrzej
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	Preferences \| Utility Functions \| Rank Dependent Utility Functions \| Separation \| Choquet Representation

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	C0 - Mathematical and Quantitative Methods. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011107749