Expected Utility Inequalities: Theory and Applications

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...

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Veröffentlicht in:Economic Theory. - Springer, 1991. - 36(2008), 1, Seite 147-158
1. Verfasser: Zambrano, Eduardo (VerfasserIn)
Format: Online-Aufsatz
Sprache:English
Veröffentlicht: 2008
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... Business Law
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520 |a 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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