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On utility functions

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Abstract

The von Neumann-Morgenstern (vNM) expected utility criterion is a particular case of a more general utility space structure. The general utility function can take care of the intrinsic utility or disutility of risk.

An approximation to this general utility function is the proposed Constant Elasticities of Value and Risk (CEVR) function, which is easily applied in specific cases, for instance in psychometric studies of behaviors in the presence of certain or uncertain gains or losses.

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Authors
  1. Georges Bernard
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Bernard, G. On utility functions. Theor Decis 5, 205–242 (1974). https://doi.org/10.1007/BF00143248

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  • DOI: https://doi.org/10.1007/BF00143248

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