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.
Original language | English |
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Pages (from-to) | 381-405 |
Number of pages | 25 |
Journal | SIAM Journal on Optimization |
Volume | 23 |
Issue number | 1 |
DOIs | |
State | Published - 2013 |
ASJC Scopus subject areas
- Software
- Theoretical Computer Science
- Applied Mathematics
Keywords
- Choquet representation
- Preferences
- Rank-dependent utility functions
- Separation
- Utility functions