Utility function estimation: The entropy approach

The maximum entropy principle can be used to assign utility values when only partial information is available about the decision maker’s preferences. In order to obtain such utility values it is necessary to establish an analogy between probability and utility through the notion of a utility density function. In this paper we explore the maximum entropy principle to estimate the utility function of a risk averse decision maker.

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Year of publication:	2008
Authors:	Dionisio, Andreia ; Reis, A. Heitor ; Coelho, Luis
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 387.2008, 15, p. 3862-3867
Publisher:	Elsevier
Subject:	Maximum entropy \| Utility functions \| Preferences \| Risk aversion

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010588426