A Class of Utility Functions Containing all the Common Utility Functions

Patrick L. Brockett and Linda L. Golden
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Patrick L. Brockett: Graduate School of Business, University of Texas, Austin, Texas 78712-1179
Linda L. Golden: Graduate School of Business, University of Texas, Austin, Texas 78712-1179

Management Science, 1987, vol. 33, issue 8, 955-964

Abstract: This paper presents a class of utility functions (class A \infty ) that contains all of the utility functions commonly used for mathematical modeling: the class consisting of those utility functions whose derivatives alternate in sign. A simple representation via mixtures of exponential utilities is provided for this class which is both mathematically convenient and conducive to functional operations. A connection with Laplace transforms and the resultant implications for preference relations, aggregation and utility assessment are discussed.

Keywords: mixed exponential utilities; completely monotone utilities; utility function estimation; characterization of utilities (search for similar items in EconPapers)
Date: 1987
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