Econometrica: Apr 1977, Volume 45, Issue 3
The Shapley Value as a von Neumann-Morgenstern Utility
Alvin E. RothThe 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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