DocumentCode
1300215
Title
Exponential utility and ruin constraints
Author
Snow, P.
Author_Institution
Dept. of Mech. Eng., New Hampshire Univ., Durham, NH, USA
Issue
5
fYear
1984
Firstpage
761
Lastpage
764
Abstract
A buying price equation for lotteries identical to that implied by exponential utility is derived using a constraint on the probability of ruin for indefinitely repeated play. Applications explored are utility parameter assessment and the axiom-free motivation of a decision rule indistinguishable from maximizing expected exponential utility.
Keywords
decision theory; game theory; axiom-free motivation; buying price equation; decision rule; exponential utility; game theory; lotteries; probability; repeated play; ruin constraints; utility parameter assessment; Economics; Games; Marine animals; Polynomials; Sociology; Statistics;
fLanguage
English
Journal_Title
Systems, Man and Cybernetics, IEEE Transactions on
Publisher
ieee
ISSN
0018-9472
Type
jour
DOI
10.1109/TSMC.1984.6313298
Filename
6313298
Link To Document