Abstract
This paper discusses necessary and sufficient preference conditions for utility models basedon a risk-value framework. These conditions provide additional insights into traditionalutility models regarding decision making by risk-value tradeoffs, and can help decisionmakers identify specific functional forms of utility measure in practice.
Similar content being viewed by others
References
J. Aczel, Lectures on Functional Equations and Their Applications, Academic Press, New York, 1965.
K. Arrow, Aspects of the Theory of Risk-Bearing, Yrjo Jahnsson Lecture, Helsinki, 1965.
D.E. Bell, One-switch utility functions and a measure of risk, Management Science 34(1988)1416 – 1424.
D.E. Bell, Risk, return, and utility, Management Science 41(1995)23 – 30.
D.E. Bell, A contextual uncertainty condition for behavior under risk, Management Science 41 (1995)1145 – 1150.
D.E. Bell, Measuring risk and return for portfolios, in: Wise Choices, eds. R.J. Zeckhauser, R.L. Keeney and J.K. Sebenius, Harvard Business School Press, 1996, pp. 102 – 118.
P.L. Brockett and L.L. Golden, A class of utility functions containing all the common utility functions, Management Science 33(1992)955 – 964.
J.S. Dyer and J. Jia, Relative risk-value models, European Journal of Operational Research 103 (1997)170 – 185.
P.H. Farquhar and Y. Nakamura, Constant exchange risk properties, Operations Research 35(1987) 206 – 214.
P.C. Fishburn and P.H. Farquhar, Finite-degree utility independence, Mathematics of Operations Research 7(1982)348–353.
C.M. Harvey, Conditions on risk attitude for a single attribute, Management Science 27(1981)190 – 203.
J. Jia and J.S. Dyer, Risk-value theory, Working Paper, Graduate School of Business, University of Texas at Austin, TX, 1995.
J. Jia and J.S. Dyer, A standard measure of risk and risk-value models, Management Science 42 (1996)1961 – 1705.
R.L. Keeney and H. Raiffa, Decisions with Multiple Objectives: Preferences and Value Tradeoffs, Wiley, New York, 1976.
C.M. Kirkwood and R.K. Sarin, Preference conditions for multiattributed value functions, Operations Research 28(1980)225 – 232.
H.M. Markowitz, Portfolio Selection, Wiley, New York, 1959.
H.M. Markowitz, Mean-Variance Analysis in Portfolio Choice and Capital Markets, Basil Blackwell, New York, 1987.
J.M. Miyamoto and P. Wakker, Multiattribute utility theory without expected utility foundations, Operations Research 44(1996)313 – 326.
J. Pfanzagl, A general theory of measurement applications to utility, Naval Research Logistic Quarterly 6(1959)283–294.
J.W. Pratt, Risk aversion in the small and in the large, Econometrica 32(1964)122 – 136.
H. Raiffa, Decision Analysis, Addison-Wesley, Reading, MA, 1968.
R.K. Sarin and M. Weber, Risk-value models, European Journal of Operational Research 70(1993) 135 – 149.
J. von Neumann and O. Morgenstern, Theory of Games and Economic Behavior, Princeton University Press, Princeton, NJ, 1947.
Rights and permissions
About this article
Cite this article
Dyer, J., Jia, J. Preference conditions for utility models:A risk-value perspective. Annals of Operations Research 80, 167–182 (1998). https://doi.org/10.1023/A:1018959713640
Issue Date:
DOI: https://doi.org/10.1023/A:1018959713640