Abstract:
A buying price equation for lotteries identical to that implied by exponential utility is derived using a constraint on the probability of ruin for indefinitely repeated ...Show MoreMetadata
Abstract:
A buying price equation for lotteries identical to that implied by exponential utility is derived using a constraint on the probability of ruin for indefinitely repeated play. Applications explored are utility parameter assessment and the “axiom-free” motivation of a decision rule indistinguishable from maximizing expected exponential utility.
Published in: IEEE Transactions on Systems, Man, and Cybernetics ( Volume: SMC-14, Issue: 5, Sept.-Oct. 1984)