Abstract
The most accepted theory of risk is based on utility theory, as developed by von Neumann-Morgenstern (1947), Arrow (1971), and others. If the decision maker obeys the utility axioms, he acts as if he maximizes expected utility. The proof of the expected utility theorem suggests how to construct the utility function that reflects his risk attitudes.
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© 1986 D. Reidel Publishing Company
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MacCrimmon, K.R., Wehrung, D.A. (1986). Assessing Risk Propensity. In: Daboni, L., Montesano, A., Lines, M. (eds) Recent Developments in the Foundations of Utility and Risk Theory. Theory and Decision Library, vol 47. Springer, Dordrecht. https://doi.org/10.1007/978-94-009-4616-3_19
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DOI: https://doi.org/10.1007/978-94-009-4616-3_19
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