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Common mathematical foundations of expected utility and dual utility theories


  • Dentcheva, Darinka
  • Ruszczynski, Andrzej


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.

Suggested Citation

  • Dentcheva, Darinka & Ruszczynski, Andrzej, 2012. "Common mathematical foundations of expected utility and dual utility theories," MPRA Paper 42736, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:42736

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    References listed on IDEAS

    1. Sergei Guriev, 2001. "On Microfoundations of the Dual Theory of Choice," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 26(2), pages 117-137, September.
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    More about this item


    Preferences; Utility Functions; Rank Dependent Utility Functions; Separation; Choquet Representation;

    JEL classification:

    • C0 - Mathematical and Quantitative Methods - - General

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