This paper deals with utility functions and their application in stochastic programming. In section 1, classification of utility functions is based on switching between gambles due to changes in wealth with a special focus on zero-switch and one-switch utility functions. All gambles are...

There is a host of papers dealing with risk premiums for multidimensional or multi-attribute problems. For definition of multivariate risk premium and multivariate risk aversion we refer to [3], [4] or [8]. This paper develops characterizations of multiperiod risk premium. In general, risk...