STOCHASTIC EFFICIENCY ANALYSIS USING MULTIPLE UTILITY FUNCTIONS

Keith D. Schumann · James W. Richardson · Gudbrand D. Lien · J. Brian Hardaker

21 citations0/0 files storedRePEc: Research Papers in Economics

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Decision-Making and Behavioral Economics Multi-Criteria Decision Making Risk and Portfolio Optimization

Abstract

Evaluating the risk of a particular decision depends on the risk aversion of the decision maker related to the underlying utility function. The objective of this paper is to use stochastic efficiency with respect to a function (SERF) to compare the ranking of risky alternatives using alternative utility functional forms.

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1969Rules for Ordering Uncertain Prospects 1977Agricultural Decision Analysis 2013Risk aversion and expected-utility theory: A calibration theorem 2004Stochastic efficiency analysis with risk aversion bounds: a simplified approach 1993Expo‐Power Utility: A ‘Flexible’ Form for Absolute and Relative Risk Aversion 1977Choice among distributions 2013The Efficiency Analysis of Choices Involving Risk 1981An Interval Approach to Measuring Decision Maker Preferences

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