Abstract
This note shows that, under appropriate conditions, preferences may be locally approximated by the linear utility or risk-neutral preference functional associated with a local probability transformation.
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Quiggin, J., Chambers, R.G. Local Utility Functions and Local Probability Transformations. Journal of Risk and Uncertainty 27, 111–120 (2003). https://doi.org/10.1023/A:1025662307166
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DOI: https://doi.org/10.1023/A:1025662307166