Duality in non-additive expected utility theory

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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.

Original languageEnglish
Pages (from-to)405-414
Number of pages10
JournalAnnals of Operations Research
Volume19
Issue number1
DOIs
StatePublished - Dec 1989
Externally publishedYes

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