Convex analysis approach to utility theories. expected utility

Darinka Dentcheva, Andrzej Ruszczyński

Research output: Contribution to journalArticlepeer-review

2 Scopus citations

Abstract

The main results of the expected utility theory can be derived from two fundamental mathematical ideas: the separation principle of convex analysis, and integral representations of continuous linear functionals from functional analysis. This observation explains the dual character of utility functions.

Original languageEnglish
Pages (from-to)1483-1488
Number of pages6
JournalComptes Rendus de L'Academie Bulgare des Sciences
Volume65
Issue number11
StatePublished - 2012

Keywords

  • Expected utility theory
  • Integral representation
  • Preference relations
  • Separation

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