We prove a weak^* dual relation for monetary utility functions defined on the dual of a Delta_2 Orlicz space.  The result is based on the following technical lemma.  If the sequence $/xi_n$ is in the dual of a $Delta_2$ Orlicz space and is a norm bounded sequence converging in probability, then there are convex combinations $/eta_n$ building an order bounded sequence that converges in probability. This lemma allows to check in an easy way whether convex sets are weak^* closed.

 

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