Risk, Return, and Utility

Expected utility theory is widely acknowledged to be a rational approach to making decisions involving risk. Yet the methodology gives no explicit role to measures of risk and return. In this paper we identify those families of utility functions that are compatible with a risk-return interpretation. From these families we deduce utility-compatible measures of risk.

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Year of publication:	1995
Authors:	Bell, David E.
Published in:	Management Science. - Institute for Operations Research and the Management Sciences - INFORMS, ISSN 0025-1909. - Vol. 41.1995, 1, p. 23-30
Publisher:	Institute for Operations Research and the Management Sciences - INFORMS
Subject:	risk \| return \| utility \| investments

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Extent:	application/pdf
Type of publication:	Article
Other identifiers:	10.1287/mnsc.41.1.23 [DOI]
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009197562