Common mathematical foundations of expected utility and dual utility theories

DOI10.1137/120868311MaRDI QIDQ5300531zbMATH OpenOpenAlexFDO

Authors Darinka Dentcheva, Andrzej Ruszczyński

Publication date 27 June 2013

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

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

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)

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.

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