RISK, RETURN, AND UTILITY
RISK, RETURN, AND UTILITY
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DOI：
10.1287/mnsc.41.1.23
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发表时间：
1995-01-01
影响因子：
5.4
通讯作者：
BELL, DE
中科院分区：
文献类型：
--
作者：
BELL, DE
期望效用理论被广泛认为是一种理性的方法来做出决策涉及风险。然而，该方法没有明确规定风险和回报的衡量标准。在本文中，我们确定这些家庭的效用函数，是兼容的风险回报的解释。从这些家庭，我们推导出效用兼容的风险措施。
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. In this paper we identify those families of utility functions that are compatible with a risk-return interpretation. From these families we deduce utility-compatible measures of risk.