Strong One-Switch Utility

Abstract

The linear plus exponential utility function has received increasing attention of late as a particularly attractive family for evaluating additive gambles for wealth. In addition to its ability to reflect increasing appreciation for money, risk aversion, and decreasing risk aversion, it is consistent with a risk-return representation in which return is measured by expected value. In this paper we present a new condition, strong one-switch, that characterizes the linear plus exponential family.

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