Expected Utility Approach to Financial Decision-Making

Marcelo Bianconi

Chapter 3 in Financial Economics, Risk and Information:An Introduction to Methods and Models, 2003, pp 107-168 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:IntroductionThe Von-Neumann-Morgenstern (VNM) Framework: Probability Distributions over OutcomesMeasurement of Risk AversionThe Von-Neumann-Morgenstern (VNM) Framework: State Dependent UtilityPortfolio Choice and Comparative Statics with VNM State Independent Expected UtilityThe Quadratic Utility FunctionDiversification, Risk Aversion and Non-Systematic RiskSummaryProblemsNotes on the LiteratureReferencesAppendix to Chapter 3Introduction to Mean-Variance Analysis with Expected Utility based on Normal Distribution of PayoffsThe PayoffsThe Specific Functional Form for the Utility FunctionThe Individual Budget ConstraintThe Equilibrium AllocationComparative StaticsClosed Form SolutionsSummary IIntroduction to Non-Additive ProbabilitiesThe Cost of Knightian Uncertainty with Uncertainty AversionRisk Averse Bayesian BehaviorSummary IINotes on the LiteratureReferences

Keywords: Risk and Information; Systems of Financial Markets; Contracts and Asymmetric Information; General Equilibrium Under Uncertainty; Non-Convexities; Portfolio Choice and Asset Pricing (search for similar items in EconPapers)
Date: 2003
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.worldscientific.com/doi/pdf/10.1142/9789812775399_0003 (application/pdf)
https://www.worldscientific.com/doi/abs/10.1142/9789812775399_0003 (text/html)
Ebook Access is available upon purchase.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:wschap:9789812775399_0003

Ordering information: This item can be ordered from

Access Statistics for this chapter

More chapters in World Scientific Book Chapters from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().