Risk Modeling Using Direct Solution of Nonlinear Approximations of the Utility Function

David Lambert and Bruce McCarl

American Journal of Agricultural Economics, 1985, vol. 67, issue 4, 846-852

Abstract: A risk model is developed which involves direct solution of the expected utility maximization problem utilizing nonlinear programming. The model permits the use of utility functions exhibiting increasing, constant, and decreasing absolute risk aversion. Demonstrations are done using functions exhibiting such properties over normal, uniform, and triangular data sets.

Date: 1985
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Persistent link: https://EconPapers.repec.org/RePEc:oup:ajagec:v:67:y:1985:i:4:p:846-852.

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