Implicit Mean Value and Certainty Equivalence

01 January 1986

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This paper considers a generalized mean value m(p) defined implicitly for a probability measure p on the reals as the unique y for which int phi(x,y) dp(x)=0, where phi is skew-symmetric and strictly increasing in its first argument. Conditions on m that are necessary and sufficient for the implicit characterization are given and its relationship to certainty equivalence is discussed.