Econometrica: Apr 1977, Volume 45, Issue 3

The Shapley Value as a von Neumann-Morgenstern Utility

https://doi.org/0012-9682(197704)45:3<657:TSVAAV>2.0.CO;2-E
p. 657-664

Alvin E. Roth

The Shapley value is shown to be a von Neumann-Morgenstern utility function. The concept of strategic risk is introduced, and it is shown that the Shapley value of a game equals its utility if and only if the underlying preferences are neutral to both ordinary and strategic risk.

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