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    Compatibility of Expected Utility and Approaches to Risk for a Class of Non Location-Scale Distributions


    Boyle, Gerry and Conniffe, Denis (2006) Compatibility of Expected Utility and Approaches to Risk for a Class of Non Location-Scale Distributions. UNSPECIFIED. (Unpublished)

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    Abstract

    Proofs of compatibility of the expected utility and approaches to incorporating uncertainty in decision making exist for at least some utility functions and location-scale distributions. But there are severe constraints and it is desirable to investigate compatibility more widely. We do so for the class of distributions that are transformable to location-scale form by concave transformation and where the utility functions remain concave under transformation. The class is important, containing distributions such as the lognormal and Pareto, usually considered more appropriate for modelling income or wealth than those in the location-scale family.

    Item Type: Other
    Academic Unit: Faculty of Social Sciences > Economics, Finance and Accounting
    Item ID: 302
    Depositing User: Ms Sandra Doherty
    Date Deposited: 17 May 2006
    Refereed: No
    URI:

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