Location of Repository

Differentiability properties of Rank Linear Utilities, working paper CEREMADE, 2007-3, available at http://www.ceremade.dauphine.fr

By G. Carlier


We study the differentiability properties of concave functionals defined as integrals of the quantile. These functionals generalize the rank dependent expected utility and are called rank-linear utilities in decision theory. Their superdifferential is described as well as the set of random variables where they are Gâteaux-differentiable. Our results generalize those obtained for the rank dependent expected utility in [1]

Year: 2013
OAI identifier: oai:CiteSeerX.psu:
Provided by: CiteSeerX
Download PDF:
Sorry, we are unable to provide the full text but you may find it at the following location(s):
  • http://citeseerx.ist.psu.edu/v... (external link)
  • http://basepub.dauphine.fr/xml... (external link)
  • http://www.ceremade.dauphine.f... (external link)
  • Suggested articles

    To submit an update or takedown request for this paper, please submit an Update/Correction/Removal Request.