Keyword: utility

Found 40 papers in total
Interpersonal comparisons of utility for 2 of 3 types of people
Interpersonal comparisons of utility for 2 of 3 types of people
2010,
This article argues that there is a natural solution to carry out interpersonal...
Multiattribute utility satisfying a preference for combining good with bad
Multiattribute utility satisfying a preference for combining good with bad
2009,
An important challenge in multiattribute decision analysis is the choice of an...
Efficient frontier of utility and CVaR (Conditional Value at Risk)
Efficient frontier of utility and CVaR (Conditional Value at Risk)
2009,
We study the efficient frontier problem of maximizing the expected utility of terminal...
Additive utility in prospect theory
Additive utility in prospect theory
2009,
Prospect theory is currently the main descriptive theory of decision under...
The Pearson system of utility functions
The Pearson system of utility functions
2006,
This paper describes a parametric family of utility functions for decision analysis....
An analytical framework for aggregating multiattribute utility functions
An analytical framework for aggregating multiattribute utility functions
2006,
This paper proposes a procedure for aggregating individual cardinal utility functions...
Optimal investments for robust utility functionals in complete market models
Optimal investments for robust utility functionals in complete market models
2005,
This paper introduces a systematic approach to the problem of maximizing the robust...
Two axiomatic approaches to decision making using possibility theory
Two axiomatic approaches to decision making using possibility theory
2005,
This paper proposes a utility theory for decision making under uncertainty that is...
A multivariate utility function
A multivariate utility function
2004,
A univariate utility function u(z ) is usually required to satisfy the conditions u...
A generalized stochastic differential utility
A generalized stochastic differential utility
2003,
This paper generalizes, in the setting of Brownian information, the...
Making descriptive use of prospect theory to improve the prescriptive use of expected utility
Making descriptive use of prospect theory to improve the prescriptive use of expected utility
2001,
This paper proposes a quantitative modification of standard utility elicitation...
Distribution of aggregate utility using stochastic elements of additive multiattribute utility models
Distribution of aggregate utility using stochastic elements of additive multiattribute utility models
2000,
Conventionally, elements of a multiattribute utility model characterizing a decision...
Strong one-switch utility
Strong one-switch utility
2001,
The linear plus exponential utility function has received increasing attention of late...
Parameter-free elicitation of utility and probability weighting functions
Parameter-free elicitation of utility and probability weighting functions
2000,
This paper proposes a two-step method to successively elicit utility functions and...
On the characterisation of investor preferences by changes in wealth
On the characterisation of investor preferences by changes in wealth
2001,
As wealth increases, preference of one fixed gamble over another typically changes...
A utility maximization approach to hedging in incomplete markets
A utility maximization approach to hedging in incomplete markets
1999,
In this paper we introduce the notion of portfolio optimization by maximizing expected...
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