Expected Utility Inequalities: Theory and Applications
Suppose we know the utility function of a risk averse decision maker who values a risky prospect X at a price C E. Based on this information alone I develop upper bounds for the tails of the probabilistic belief about X of the decision maker. In the paper I also illustrate how to use these "exp...
| Veröffentlicht in: | Economic Theory. - Springer, 1991. - 36(2008), 1, Seite 147-158 |
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| 1. Verfasser: | |
| Format: | Online-Aufsatz |
| Sprache: | English |
| Veröffentlicht: |
2008
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| Zugriff auf das übergeordnete Werk: | Economic Theory |
| Schlagworte: | Expected utility theory Elicitation of subjective beliefs Value at risk Option pricing Credit risk C44 D81 Economics Mathematics Behavioral sciences mehr... |
| Zusammenfassung: | Suppose we know the utility function of a risk averse decision maker who values a risky prospect X at a price C E. Based on this information alone I develop upper bounds for the tails of the probabilistic belief about X of the decision maker. In the paper I also illustrate how to use these "expected utility bounds" in a variety of applications, which include the estimation of risk measures from observed data, option valuation, and the study of credit risk. |
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| ISSN: | 14320479 |