Decomposing the Cross Derivatives of a Multiattribute Utility Function into Risk Attitude and Value
Published Online:1 Jun 2011https://doi.org/10.1287/deca.1110.0205
References
- The theory of risk aversion. Aspects of the Theory of Risk-Bearing (1965) (Yrjö Jahnssonin Säätiö, Helsinki, Finland) Lecture 2Google Scholar
- A class of utility functions containing all the common utility functions. Management Sci. (1987) 33(8):955–964Link, Google Scholar
- Interpretation of the risk tolerance coefficient in terms of maximum acceptable loss. Decision Anal. (2008) 5(1):5–9Link, Google Scholar
- Bivariate stochastic dominance and substitute risk-(in)dependent utilities. Decision Anal. (2010) 7(3):302–312Link, Google Scholar
- Some consequences of correlation aversion in decision science. Ann. Oper. Res. (2010a) 176(1):259–269Crossref, Google Scholar
- Multivariate concave and convex stochastic dominance. (2010b) . Working paper 2010/29/DS, INSEAD, SingaporeGoogle Scholar
- A matrix measure of multivariate local risk aversion. Econometrica (1977) 45(4):895–903Crossref, Google Scholar
- Relative risk aversion. Management Sci. (1982) 28(8):875–886Link, Google Scholar
- A good sign for multivariate risk taking. Management Sci. (2007) 53(1):117–124Link, Google Scholar
- On fates comparable to death. Management Sci. (1984) 30(4):407–422Link, Google Scholar
- On multivariate risk aversion. Econometrica (1979) 47(6):1391–1401Crossref, Google Scholar
- Perspective on decision analysis applications 1990–2001. Decision Anal. (2004) 1(1):4–22Link, Google Scholar
- Decisions with Multiple Objectives (1976) (Wiley, New York) Google Scholar
- Risk aversion with many commodities. J. Econom. Theory (1974) 8(3):361–388Crossref, Google Scholar
- Precautionary savings in the small and in the large. Econometrica (1990) 58(1):53–73Crossref, Google Scholar
- , Newman P., Milgate M., Eatwell J. Precautionary motives for holding assets. The New Palgrave Dictionary of Money and Finance (1992) 3(McMillan Press, London) 158–161Google Scholar
- Strategic Decision Making: Multiobjective Decision Analysis with Spreadsheets (1997) (Wadsworth Publishing, Belmont, CA) Google Scholar
- Stochastic dominance and expected utility: Survey and analysis. Management Sci. (1992) 38(4):555–593Link, Google Scholar
- Utility transversality: A value-based approach. J. Multi-Criteria Decision Anal. (2005) 13(5–6):229–238Crossref, Google Scholar
- , Howard R. A., Matheson J. E. An introduction to decision analysis. The Principles and Applications of Decision Analysis (1968) I(Strategic Decisions Group, Menlo Park, CA) Google Scholar
- Multivariate stochastic dominance and moments. Math. Oper. Res. (1991) 16(2):382–389Link, Google Scholar
- Risk aversion in the small and in the large. Econometrica (1964) 32(1–2):122–136Crossref, Google Scholar
- Proper risk aversion. Econometrica (1987) 55(1):143–154Crossref, Google Scholar
- Multivariate risk aversion, utility independence and separable utility functions. Management Sci. (1975) 22(1):12–21Link, Google Scholar
- The formula of Faa di Bruno. Amer. Math. Monthly (1980) 87(10):805–809Crossref, Google Scholar
- Dominance conditions for multiattribute utility functions. Management Sci. (1988) 34(4):454–460Link, Google Scholar
- Multiattribute utility satisfying a preference for combining good with bad. Management Sci. (2009) 55(12):1942–1952Link, Google Scholar
- Theory of Games and Economic Behavior (1947) 2nd ed.(Princeton University Press, Princeton, NJ) Google Scholar

