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Common mathematical foundations of expected utility and dual utility theories

Dentcheva, Darinka and Ruszczynski, Andrzej (2012): Common mathematical foundations of expected utility and dual utility theories.

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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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