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Expected utility expressed in terms of moments

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  • Borch, Karl

Abstract

Following a review of the problem of establishing a preference ordering over a set of distributions, the principles of Pascal, Bernoulli and Tetens are discussed. The second section of the paper outlines ways of expressing expected utility in terms of moments, thus combining the Bernoulli and Tetens principles. The paper concludes by suggesting that the Tetens principle contains some very strong--and unacceptable--behavioural assumptions.

Suggested Citation

  • Borch, Karl, 1973. "Expected utility expressed in terms of moments," Omega, Elsevier, vol. 1(3), pages 331-343, June.
    • Handle: RePEc:eee:jomega:v:1:y:1973:i:3:p:331-343
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    Cited by:

    1. David Johnstone & Dennis Lindley, 2013. "Mean-Variance and Expected Utility: The Borch Paradox," Papers 1306.2728, arXiv.org.

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