IDEAS home Printed from https://ideas.repec.org/a/ags/uersja/148095.html
   My bibliography  Save this article

Estimating Exponential Utility Functions

Author

Listed:
  • Buccola, Steven T.
  • French, Ben C.

Abstract

The exponential utility function for money has long attracted attention from theorists because it exhibits nonincreasing absolute risk aversion. Also, under certain conditions, it generates an expected utility function that is maximizable in a quadratic program. However, this functional form presents estimation problems. Logarithmic transformation of an exponential utility function does not conform to the Von Neumann-Morgenstern axioms. Hence, it cannot be used as a basis for best fit in statistical analysis. A criterion is described that can be used to select a best-fit exponential utility function, and its application in grower utility analysis is demonstrated.

Suggested Citation

  • Buccola, Steven T. & French, Ben C., 1978. "Estimating Exponential Utility Functions," Journal of Agricultural Economics Research, United States Department of Agriculture, Economic Research Service, vol. 30(1), pages 1-7, January.
    • Handle: RePEc:ags:uersja:148095
    DOI: 10.22004/ag.econ.148095
    as

    Download full text from publisher

    File URL: https://ageconsearch.umn.edu/record/148095/files/6Buccola_30_1.pdf
    Download Restriction: no
    File URL: https://libkey.io/10.22004/ag.econ.148095?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Duncan, Steven Scott, 1988. "The relevant forecast of variance of income for marketing decisions under uncertainty," ISU General Staff Papers 198801010800009839, Iowa State University, Department of Economics.
    2. Kögl, H., 1980. "Erklärung und Prognose einzelbetrieblicher Entwicklung mit Hilfe von Risikonutzenfunktionen," Proceedings “Schriften der Gesellschaft für Wirtschafts- und Sozialwissenschaften des Landbaues e.V.”, German Association of Agricultural Economists (GEWISOLA), vol. 17.
    3. Chirag Shekhar & Mark Trede, 2017. "Portfolio Optimization Using Multivariate t-Copulas with Conditionally Skewed Margins," Review of Economics & Finance, Better Advances Press, Canada, vol. 9, pages 29-41, August.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ags:uersja:148095. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: AgEcon Search (email available below). General contact details of provider: https://edirc.repec.org/data/ersgvus.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.