Utility function estimation: The entropy approach

Andreia Dionisio, A. Heitor Reis and Luís Coelho ()

Physica A: Statistical Mechanics and its Applications, 2008, vol. 387, issue 15, 3862-3867

Abstract: The maximum entropy principle can be used to assign utility values when only partial information is available about the decision maker’s preferences. In order to obtain such utility values it is necessary to establish an analogy between probability and utility through the notion of a utility density function. In this paper we explore the maximum entropy principle to estimate the utility function of a risk averse decision maker.

Keywords: Maximum entropy; Utility functions; Preferences; Risk aversion (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (4)

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Working Paper: Utility function estimation: the entropy approach (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:387:y:2008:i:15:p:3862-3867

DOI: 10.1016/j.physa.2008.02.072

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