Local Utility Functions and Local Probability Transformations

This note shows that, under appropriate conditions, preferences may be locally approximated by the linear utility or risk-neutral preference functional associated with a local probability transformation.

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Bibliographic Details
Published inJournal of risk and uncertainty Vol. 27; no. 2; pp. 111 - 120
Main Authors QUIGGIN, JOHN, CHAMBERS, ROBERT G.
Format Journal Article
LanguageEnglish
Published New York Kluwer Academic Publishers 01.10.2003
Springer Nature B.V
Subjects
Distance functions
Economic theory
Economic uncertainty
Economic utility
Economics
Expected utility
Mathematical transformations
Mathematical vectors
Neighborhoods
Preferences
Probability
Probability distribution
Random variables
Risk
Risk aversion
Risk management
Risk theory
Statistical methods
Studies
Uncertainty
Utility functions
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Summary:This note shows that, under appropriate conditions, preferences may be locally approximated by the linear utility or risk-neutral preference functional associated with a local probability transformation.
Bibliography:ObjectType-Article-2
SourceType-Scholarly Journals-1
ObjectType-Feature-1
content type line 23
ISSN:0895-5646
1573-0476
DOI:10.1023/A:1025662307166