Common mathematical foundations of expected utility and dual utility theories
AbstractWe 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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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 42736.
Date of creation: 01 Mar 2012
Date of revision:
Preferences; Utility Functions; Rank Dependent Utility Functions; Separation; Choquet Representation;
Find related papers by JEL classification:
- C0 - Mathematical and Quantitative Methods - - General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-12-10 (All new papers)
- NEP-HPE-2012-12-10 (History & Philosophy of Economics)
- NEP-MIC-2012-12-10 (Microeconomics)
- NEP-UPT-2012-12-10 (Utility Models & Prospect Theory)
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