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Exponential utility and ruin constraints | IEEE Journals & Magazine | IEEE Xplore

Exponential utility and ruin constraints


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 More

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)
Page(s): 761 - 764
Date of Publication: 31 October 1984

ISSN Information:


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