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  1. Invariant multiattribute utility functions.Ali E. Abbas - 2010 - Theory and Decision 68 (1-2):69-99.
    We present a method to characterize the preferences of a decision maker in decisions with multiple attributes. The approach modifies the outcomes of a multivariate lottery with a multivariate transformation and observes the change in the decision maker’s certain equivalent. If the certain equivalent follows this multivariate transformation, we refer to this situation as multiattribute transformation invariance, and we derive the functional form of the utility function. We then show that any additive or multiplicative utility function that is formed of (...)
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  • On the Conditional Value-at-Risk probability-dependent utility function.Alexandre Street - 2010 - Theory and Decision 68 (1-2):49-68.
    The Expected Shortfall or Conditional Value-at-Risk (CVaR) has been playing the role of main risk measure in the recent years and paving the way for an enormous number of applications in risk management due to its very intuitive form and important coherence properties. This work aims to explore this measure as a probability-dependent utility functional, introducing an alternative view point for its Choquet Expected Utility representation. Within this point of view, its main preference properties will be characterized and its utility (...)
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