Local Utility Functions and Local Probability Transformations

John Quiggin and Robert Chambers ()

Journal of Risk and Uncertainty, 2003, vol. 27, issue 2, 20 pages

Abstract: This note shows that, under appropriate conditions, preferences may be locally approximated by the linear utility or risk-neutral preference functional associated with a local probability transformation. Copyright 2003 by Kluwer Academic Publishers

Date: 2003
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