Article ID: | iaor19941157 |
Country: | Italy |
Volume: | 22 |
Issue: | 64 |
Start Page Number: | 57 |
End Page Number: | 69 |
Publication Date: | Dec 1992 |
Journal: | Ricerca Operativa |
Authors: | Diale Giulio |
A method for building a utility function based on preferences among lotteries is proposed, against the method based on certainty equivalent. In a special case the method leads to a mathematical program with linear constraints and the objective function given by the sum of the absolute values of linear functions, equivalent to a sequence of linear programs. A simple numerical example is solved and discussed.