Building a utility function based on preferences between lotteries

Building a utility function based on preferences between lotteries

0.00 Avg rating0 Votes
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:
Abstract:

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.

Reviews

Required fields are marked *. Your email address will not be published.