Risk, Return, and Utility

Expected utility theory is widely acknowledged to be a rational approach to making decisions involving risk. Yet the methodology gives no explicit role to measures of risk and return. In this paper we identify those families of utility functions that are compatible with a risk-return interpretation. From these families we deduce utility-compatible measures of risk.

• 저널Management Science · 41(1) · 23–30
• 토픽Risk and Portfolio Optimization · Management Science and Operations Research
• DOI10.1287/mnsc.41.1.23
• 저자David E. Bell