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Differentiability properties of Rank Linear Utilities, working paper CEREMADE, 2007-3, available at

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
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