Conditions on Risk Attitude for a Single Attribute

Charles M. Harvey
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Charles M. Harvey: Dickinson College

Management Science, 1981, vol. 27, issue 2, 190-203

Abstract: For a decision problem having consequences described by a single attribute, the task of determining a utility function can be facilitated by verifying that the decision maker's risk attitude satisfies a condition such as constant risk aversion. We investigate a general class of conditions on risk attitude, and show that a utility function for such a condition may exist only when the condition is of a special type. Next, we discuss and interpret conditions of this special type. Then, we define two conditions which imply that the decision maker's risk attitude satisfies a condition of this type and is represented by a generalized logarithmic utility function or a linear fractional utility function.

Keywords: utility/preference:; theory (search for similar items in EconPapers)
Date: 1981
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Persistent link: https://EconPapers.repec.org/RePEc:inm:ormnsc:v:27:y:1981:i:2:p:190-203

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