The Pearson system of utility functions

DOI10.1016/J.EJOR.2004.10.012zbMath1120.91008OpenAlexW2054598170MaRDI QIDQ2490169

Annamaria Sorato, Marco Li Calzi

Publication date: 28 April 2006

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10278/29059

zbMATH Keywords

HARA utility functionsProspect theoryExpected utilityPearson system of distributionsCoefficient of risk aversionElicitation of preferences under riskProbability weighting functionTarget-based decisions

Mathematics Subject Classification ID

Management decision making, including multiple objectives (90B50) Utility theory (91B16)

Related Items (6)

Moments of utility functions and their applications ⋮ Multi-period power utility optimization under stock return predictability ⋮ Multi-choice goal programming with utility functions ⋮ Non-additive multi-attribute fuzzy target-oriented decision analysis ⋮ Risk-optimal path planning in stochastic dynamic environments ⋮ Representing risk preferences in expected utility based decision models

Cites Work

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• Eliciting von Neumann-Morgenstern Utilities When Probabilities Are Distorted or Unknown
• The Probability Weighting Function
• Standard Risk Aversion
• Risk Aversion in the Small and in the Large
• The Use of Distribution Functions to Represent Utility Functions
• CONTINUATION OF DR JONES'S PAPER
• Decision analysis using targets instead of utility functions.
• A further examination of cumulative prospect theory parameterizations

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