Convex analysis approach to utility theories. expected utility

Darinka Dentcheva; Andrzej Ruszczyński

Convex analysis approach to utility theories. expected utility

Darinka Dentcheva
, Andrzej Ruszczyński

Rutgers - The State University of New Jersey, New Brunswick

Research output: Contribution to journal › Article › peer-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 language	English
Pages (from-to)	1483-1488
Number of pages	6
Journal	Comptes Rendus de L'Academie Bulgare des Sciences
Volume	65
Issue number	11
State	Published - 2012

Keywords

Expected utility theory
Integral representation
Preference relations
Separation

Cite this

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KW - Integral representation

KW - Preference relations

KW - Separation

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JF - Comptes Rendus de L'Academie Bulgare des Sciences

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Convex analysis approach to utility theories. expected utility

Abstract

Keywords

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