Common mathematical foundations of expected utility and dual utility theories

Research output: Contribution to journalArticlepeer-review

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 languageEnglish
Pages (from-to)381-405
Number of pages25
JournalSIAM Journal on Optimization
Volume23
Issue number1
DOIs
StatePublished - 2013

ASJC Scopus subject areas

  • Software
  • Theoretical Computer Science
  • Applied Mathematics

Keywords

  • Choquet representation
  • Preferences
  • Rank-dependent utility functions
  • Separation
  • Utility functions

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