Title :
Exponential utility and ruin constraints
Author_Institution :
Dept. of Mech. Eng., New Hampshire Univ., Durham, NH, USA
Abstract :
A buying price equation for lotteries identical to that implied by exponential utility is derived using a constraint on the probability of ruin for indefinitely repeated play. Applications explored are utility parameter assessment and the axiom-free motivation of a decision rule indistinguishable from maximizing expected exponential utility.
Keywords :
decision theory; game theory; axiom-free motivation; buying price equation; decision rule; exponential utility; game theory; lotteries; probability; repeated play; ruin constraints; utility parameter assessment; Economics; Games; Marine animals; Polynomials; Sociology; Statistics;
Journal_Title :
Systems, Man and Cybernetics, IEEE Transactions on
DOI :
10.1109/TSMC.1984.6313298
