Double-Exponential Utility Functions

  title={Double-Exponential Utility Functions},
  author={David E. Bell},
  journal={Math. Oper. Res.},
  • D. E. Bell
  • Published 1 May 1986
  • Economics
  • Math. Oper. Res.
Ordinal additivity between two attributes X and Y is a property that permits the utility function ux, y to be represented as φvx + wy for some functions φ, v and w where φ may be thought of as a single attribute utility function over v + w. In applications φ is usually taken to be either linear the additive decomposition or exponential the multiplicative decomposition. The utility function can be shown to be exactly one of these forms whenever the two attributes are mutually utility independent… 

One-Switch Conditions for Multiattribute Utility Functions

A variety of new independence conditions for multiattribute utility functions that permit preference dependencies among the attributes of a decision problem are introduced, based on the idea of limiting the number of switches that a decision maker may make between two decision alternatives as a parameter of the problem varies.

Multiplicative Utilities for Health and Consumption

Two multiplicative utility forms from basic conditions are developed that can express risk aversion, decreasing absolute risk aversion and increasing relative risk aversion in life duration and the properties of this reduced form under correlation seekingness are examined and discussed.

Scalarized Preferences in Multi-objective Optimization

Multikriterielle Optimierungsprobleme verfugen uber keine Losung, die optimal in jeder Zielfunktion ist. Die Schwierigkeit solcher Probleme liegt darin eine Kompromisslosung zu finden, die den

METHODS — One-Switch Conditions for Multiattribute Utility Functions

Full terms and conditions of use:

Capital Asset Pricing Model Based on a Generalized Economic Index of Riskiness∗

This paper establishes a generalized economic index of riskiness which includes the risk measures proposed by Aumann and Serrano (2008), Foster and Hart (2009) and Bali et al. (2011) as special

Structured prescriptive models of risk attitudes

This paper discusses conditions on risk attitudes that imply special types of expected-utility functions. First, conditions are described that correspond to different choices of an arithmetic

Constant Exchange Risk Properties

This paper develops a methodology using risk properties to characterize the functional form of a utility measure for decision making under uncertainty that allows analysts to distinguish beforehand between alternative forms and thus properly specify the utility function in applications.



Quasi-separable utility functions†

This paper is concerned with a method for the assessment of utility functions of multi-numeraire consequences. It is proven that given von Neumann and Morgenstern's axioms of “rational behavior” and

Consistent Assessment Procedures Using Conditional Utility Functions

A new independence relation between attributes is derived that decomposes the utility function into four single-attribute utility functions and derives a decomposition that is a simple generalization of joint utility independence.

The Consistent Assessment and Fairing of Preference Functions

The problem is introduced in some detail, and the concepts involved reviewed, and it turns out in this case that all the restrictions are linear in certain quantities, so that the existence problem is essentially one of satisfying linear constraints.

Parametrically Dependent Preferences for Multiattributed Consequences

This work defines the concept of parametric dependence of preferences for multiattributed consequences and shows the usefulness of this concept for the assessment of multiattribute utility functions by proving several representation theorems that simplify the assessment problem whenparametric dependence holds.

Calculus Made Easy

The authpr does show that the most fundamental operations of the calculus are easy to understand and may be performed by beginners with success, that is, without vague notions of being wrong.

Mathematical Analysis

Approximations of Two-Attribute Utility Functions

This paper considers the assessment of von Neumann-Morgenstern utility functions u defined on two attributes from the viewpoint of mathematical approximation theory. It focuses on approximations v of