IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this paper or follow this series

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

  • Gerry Boyle

    ()

    (Economics Department, National University of Ireland, Maynooth)

  • Denis Conniffe

    ()

    (Economics Department, National University of Ireland, Maynooth)

Proofs of compatibility of the expected utility and µ/s 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.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://repec.maynoothuniversity.ie/mayecw-files/N1670406.pdf
Download Restriction: no

Paper provided by Department of Economics, Finance and Accounting, National University of Ireland - Maynooth in its series Economics, Finance and Accounting Department Working Paper Series with number n1670406.

as
in new window

Length: 23 pages
Date of creation: 2006
Date of revision:
Handle: RePEc:may:mayecw:n1670406
Contact details of provider: Postal: Maynooth, Co. Kildare
Phone: 353-1-7083728
Fax: 353-1-7083934
Web page: http://www.maynoothuniversity.ie/economics-finance-and-accounting

More information through EDIRC

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

as in new window
  1. Bierwag, G O, 1974. "The Rationale of the Mean-Standard Deviation Analysis: Comment," American Economic Review, American Economic Association, vol. 64(3), pages 431-33, June.
  2. Levy, Haim, 1974. "The Rationale of the Mean-Standard Deviation Analysis: Comment," American Economic Review, American Economic Association, vol. 64(3), pages 434-41, June.
  3. Mayshar, Joram, 1978. "A Note on Feldstein's Criticism of Mean-Variance Analysis," Review of Economic Studies, Wiley Blackwell, vol. 45(1), pages 197-99, February.
  4. Borch, Karl, 1974. "The Rationale of the Mean-Standard Deviation Analysis: Comment," American Economic Review, American Economic Association, vol. 64(3), pages 428-30, June.
  5. Meyer, Jack, 1987. "Two-moment Decision Models and Expected Utility Maximization," American Economic Review, American Economic Association, vol. 77(3), pages 421-30, June.
Full references (including those not matched with items on IDEAS)

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:may:mayecw:n1670406. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ()

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.