Expected Utility and the Truncated Normal Distribution

DOI10.1287/MNSC.26.9.901MaRDI QIDQ3898277zbMATH OpenOpenAlexFDO

Authors Richard B. Norgaard, Timothy J. Killeen

Publication date 1980

Published in Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/mnsc.26.9.901

zbMATH Keywords

financeexpected utilitytruncated normal distributioncapital budgetingrisk averse utility functions

Mathematics Subject Classification ID

Decision theory (91B06) Utility theory (91B16)

Cited in

(3)

• A modified Black-Scholes pricing formula for European options with bounded underlying prices
• A stochastic dominance comparison of truncated normal distributions
• Probabilistic constraints in primal and dual linear programs: Duality results

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