Convex analysis approach to utility theories. dual utility

Darinka Dentcheva, Andrzej Ruszczynski

Research output: Contribution to journalArticlepeer-review

Abstract

We show that the dual (rank dependent) utility theory and the expected utility theory have common mathematical foundations. The main results of the dual utility theory can be derived from the separation principle of convex analysis and the integral representations of continuous linear functionals. This approach is similar to the one we have successfully applied to obtain the main results of the expected utility theory. Our results explain the dual character of utility functions. Additionally, we provide two new representations of dual utility.

Original languageEnglish (US)
Pages (from-to)1641-1648
Number of pages8
JournalComptes Rendus de L'Academie Bulgare des Sciences
Volume65
Issue number12
StatePublished - Dec 1 2012
Externally publishedYes

All Science Journal Classification (ASJC) codes

  • General

Keywords

  • Choquet integral representation
  • Dual utility theory
  • Preference relations
  • Separation

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