haku: @author Nakamura, Y. / yhteensä: 2
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| Tekijä: | Farquhar, P. H. Nakamura, Y. |
| Otsikko: | Constant exchange risk properties. |
| Lehti: | Operations Research
1987 : MAR-APR, VOL. 35:2, p. 206-214 |
| Asiasana: | UTILITY ASSESSMENT DECISION MAKING RISK |
| Kieli: | eng |
| Tiivistelmä: | A methodology using properties is developed to characterize the functional form of a utility measure for decision making under uncertainty. The constant absolute risk property is known to be necessary and sufficient, with appropriate regularity conditions, for the utility function to have either a linear or an exponential form.A new generalization of this property gives a characterization of six utility functions and the methodology presented allows to distinguish beforehand between alternative forms and thus properly specify the utility function in application. |
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