Common Mathematical Foundations of Expected Utility and Dual Utility Theories

DOI10.1137/120868311zbMath1271.91051arXiv1211.4469OpenAlexW1989483789MaRDI QIDQ5300531

Dentcheva, Darinka, Ruszczyński, Andrzej

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

preferencesutility functionsseparationChoquet representationrank-dependent utility functions

Mathematics Subject Classification ID

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

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