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  • Photo du rédacteurHélène Dufour

A Duality Between Utility Transforms and Probability Distortions

This paper presents a fundamental #mathematical duality linking utility transforms and #probability distortions, which are vital in #decisionmaking under #risk. It reveals that these concepts are characterized by commutation, allowing for simple axiomatization with just one property. Additionally, rank-dependent utility transforms are further characterized under monotonicity conditions.


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