Measures of risk have grown in importance in expressing preferences between different manifestations of uncertain cost or loss in finance and engineering, but utility functions and expected utility have had a more traditional role. This article surveys how risk and utility are in fact more closely related than may have been appreciated by practitioners. The tools of convex analysis, including conjugate duality, are able to bring this out.
CITATION STYLE
Rockafellar, R. T. (2020). Risk and utility in the duality framework of convex analysis. In Springer Proceedings in Mathematics and Statistics (Vol. 313, pp. 21–42). Springer. https://doi.org/10.1007/978-3-030-36568-4_3
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