Smooth nonexpected utility without state independence

We propose a notion of smoothness of nonexpected utility functions, which extends the variational analysis of nonexpected utility functions to more general settings. In particular, our theory applies to state dependent utilities, as well as the multiple prior expected utility model, both of which are not possible in previous literatures. Other nonexpected utility models are shown to satisfy smoothness under more general conditions than the Fréchet and Gateaux differentiability used in the literature. We give more general characterizations of monotonicity and risk aversion without assuming state independence of utility function. Ai, University of Minnesota and Federal Reserve Bank of Minneapolis. I thank Michele Boldrin for his advice and continuous encouragement. I thank David Levine for helpful comments. All errors are mine. The views expressed herein are those of the author and not necessarily those of the Federal Reserve Bank of Minneapolis or the