Common mathematical foundations of expected utility and dual utility theories

DOI10.1137/120868311zbMATH Open1271.91051arXiv1211.4469OpenAlexW1989483789MaRDI QIDQ5300531FDOQ5300531

Darinka Dentcheva, Andrzej Ruszczyński

Publication date: 27 June 2013

Published in: SIAM Journal on Optimization (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/1211.4469

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zbMATH Keywords

separationpreferencesutility functionsChoquet representationrank-dependent utility functions

Mathematics Subject Classification ID

Utility theory (91B16) Applications of operator theory in optimization, convex analysis, mathematical programming, economics (47N10)

Cited In (13)

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• Regularized methods for a two-stage robust production planning problem and its sample average approximation
• Kusuoka representations of coherent risk measures in general probability spaces
• Risk forms: representation, disintegration, and application to partially observable two-stage systems
• Risk and Utility in the Duality Framework of Convex Analysis

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