Conditions on Risk Attitude for a Single Attribute
For a decision problem having consequences described by a single attribute, the task of determining a utility function can be facilitated by verifying that the decision maker's risk attitude satisfies a condition such as constant risk aversion. We investigate a general class of conditions on ri...
| Veröffentlicht in: | Management Science. - Institute for Operations Research and the Management Sciences, 1954. - 27(1981), 2, Seite 190-203 |
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| 1. Verfasser: | |
| Format: | Online-Aufsatz |
| Sprache: | English |
| Veröffentlicht: |
1981
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| Zugriff auf das übergeordnete Werk: | Management Science |
| Schlagworte: | Utility/Preference-Theory Economics Behavioral sciences Mathematics |
| Zusammenfassung: | For a decision problem having consequences described by a single attribute, the task of determining a utility function can be facilitated by verifying that the decision maker's risk attitude satisfies a condition such as constant risk aversion. We investigate a general class of conditions on risk attitude, and show that a utility function for such a condition may exist only when the condition is of a special type. Next, we discuss and interpret conditions of this special type. Then, we define two conditions which imply that the decision maker's risk attitude satisfies a condition of this type and is represented by a generalized logarithmic utility function or a linear fractional utility function. |
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| ISSN: | 15265501 |