Common mathematical foundations of expected utility and dual utility theories

Darinka Dentcheva and Andrzej Ruszczynski ()

MPRA Paper from University Library of Munich, Germany

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 (search for similar items in EconPapers)
JEL-codes: C0 (search for similar items in EconPapers)
Date: 2012-03-01
New Economics Papers: this item is included in nep-hpe, nep-mic and nep-upt
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:42736

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