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A mathematical procedure for selecting among alternative utility functions

1981

This thesis presents a mathematical procedure, called the R^-method, for selecting among alternative utility functions to represent a decision maker's risk preference. A general class of utility functions is introduced and for five alternative members of this class, the absolute risk aversion at the initial wealth w[sub o] , i.e. R[sub A](w[sub o] ), is expressed as a function of: (i) the parameters of a nondegenerate gamble z; and (ii) the decision maker's response to that gamble (in terms of

doi:10.14288/1.0094984
fatcat:ekwi6gwqyzbcpg5abf6h2rcfv4