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Duality in Non-Additive Expected Utility Theory

Abstract : Some duality problems in expected utility theory, raised by the introduction of non-additive probabilities, are examined. These problems do not arise if the probability measure is symmetric; i.e. has the property of complementary additivity. Additional, mild properties of coherence of conditional probabilities imply full additivity of the unconditional measure.
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Contributor : Antoine Haldemann Connect in order to contact the contributor
Submitted on : Sunday, November 18, 2012 - 8:36:59 PM
Last modification on : Friday, November 29, 2019 - 12:14:04 PM

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Itzhak Gilboa. Duality in Non-Additive Expected Utility Theory. Annals of Operations Research, Springer Verlag, 1989, Vol.19, pp. 405-414. ⟨10.1007/BF02283531⟩. ⟨hal-00753238⟩



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