A duality between utility transforms and probability distortions

DOI10.1007/S11238-025-10073-9MaRDI QIDQ6892799zbMATH OpenFDO

Authors Christopher P. Chambers, Peng Liu, Ruodu Wang

Publication date 28 November 2025

Published in Theory and Decision (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/S11238-025-10073-9

zbMATH Keywords

distributional transformsprobability distortionsquantilesrank-dependent-utility transformsutility transforms

Mathematics Subject Classification ID

Utility theory (91B16)

Cites work

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• Stochastic finance. An introduction in discrete time.
• Subjective Probability and Expected Utility without Additivity
• The Dual Theory of Choice under Risk
• Theory of games and economic behavior.

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