Multiattribute Risk Linearity

Charles M. Harvey
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Charles M. Harvey: Department of Decision and Information Sciences, University of Houston, Houston, Texas 77204-6282

Management Science, 1993, vol. 39, issue 3, 389-394

Abstract: In applying multiattribute utility theory, one typically assumes the condition of mutual utility independence and uses a multiattribute utility function that is additive or multiplicative. This paper proposes a model in which this condition is not satisfied, that is, the risk attitude for one attribute depends on the amounts of the other attributes. We introduce a condition on this dependence called "multiattribute risk linearity" that implies a logarithmic form for the multiattribute utility function, and we show that a logarithmic utility function can be determined by assessment procedures that require the same number of indifference assessments as those for a multiplicative utility function.

Keywords: decision analysis; multiattribute tradeoffs; risk attitudes (search for similar items in EconPapers)
Date: 1993
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:inm:ormnsc:v:39:y:1993:i:3:p:389-394

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