Procedures for Estimating Exponential Utility Functions

Steven T. Buccola

No 283669, 1977 AAEA-WAEA Joint Meeting, July 31-August 3, San Diego, California from American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association)

Abstract: Exponential utility functions have the desirable feature of constant absolute risk aversion but present estimation problems. logarithmic transformations of these functions do not conform to Von Neumann-Morgenstern axioms and hence cannot be used as bases for a best fit. A proper criterion for selecting such a fit is described.

Keywords: Risk; and; Uncertainty (search for similar items in EconPapers)
Pages: 14
Date: 1977-07
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Persistent link: https://EconPapers.repec.org/RePEc:ags:aaea77:283669

DOI: 10.22004/ag.econ.283669

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