Strong One-Switch Utility

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.

• 저널Management Science · 47(4) · 601–604
• 토픽Risk and Portfolio Optimization · Management Science and Operations Research
• DOI10.1287/mnsc.47.4.601.9825
• 저자David E. Bell, Peter C. Fishburn