| Article ID: | iaor1996130 |
| Country: | United States |
| Volume: | 41 |
| Issue: | 1 |
| Start Page Number: | 23 |
| End Page Number: | 30 |
| Publication Date: | Jan 1995 |
| Journal: | Management Science |
| Authors: | Bell David E. |
| Keywords: | investment, values, decision theory |
Expected utility theory is widely acknowledged to be a rational approach to making decisions involving risk. Yet the methodology gives no explicit role to measures of risk and return. This paper identifies those families of utility functions that are compatible with a risk-return interpretation. From these families it deduces utility-compatible measures of risk.