The Pearson system of utility functions

DOI10.1016/J.EJOR.2004.10.012MaRDI QIDQ2490169zbMATH OpenOpenAlexFDO

Authors Annamaria Sorato, Marco LiCalzi

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)

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Cites work

• scientific article; zbMATH DE number 699423 (Why is no real title available?)
• scientific article; zbMATH DE number 3342731 (Why is no real title available?)
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• Constant Exchange Risk Properties
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• Eliciting von Neumann-Morgenstern Utilities When Probabilities Are Distorted or Unknown
• Expected utility without utility
• Measuring the utility of losses by means of the tradeoff method
• One-Switch Utility Functions and a Measure of Risk
• Parameter-Free Elicitation of Utility and Probability Weighting Functions
• Proper Risk Aversion
• Prospect Theory: An Analysis of Decision under Risk
• Risk Aversion in the Small and in the Large
• SOME REMARKS ON THE MEAN, MEDIAN, MODE AND SKEWNESS
• Standard Risk Aversion
• State of the Art—Utility Assessment Methods
• The Probability Weighting Function
• The Use of Distribution Functions to Represent Utility Functions
• The economics of risk and time
• Utility functions for wealth

Cited in

(10)

• Risk-optimal path planning in stochastic dynamic environments
• Flexible utility function approximation via cubic Bezier splines
• Multi-choice goal programming with utility functions
• Non-additive multi-attribute fuzzy target-oriented decision analysis
• Moments of utility functions and their applications
• Utility functions of equivalent form and the effect of parameter changes on optimum decision making
• Five parameter utility function
• Multi-period power utility optimization under stock return predictability
• Representing risk preferences in expected utility based decision models
• The S-shaped utility function

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