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Best Upper and Lower Tchebycheff Bounds on Expected Utility

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  • Yngve Willassen

Abstract

It is useful to have bounds on expected utility in situations in which the relevant distribution is skewed. This paper assumes that the third moment of the distribution is known and uses knowledge of the first three moments to derive upper and lower Tchebycheff bounds.

Suggested Citation

  • Yngve Willassen, 1990. "Best Upper and Lower Tchebycheff Bounds on Expected Utility," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 57(3), pages 513-520.
    • Handle: RePEc:oup:restud:v:57:y:1990:i:3:p:513-520.
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    File URL: http://hdl.handle.net/10.2307/2298027
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    Cited by:

    1. Ioana Popescu, 2005. "A Semidefinite Programming Approach to Optimal-Moment Bounds for Convex Classes of Distributions," Mathematics of Operations Research, INFORMS, vol. 30(3), pages 632-657, August.

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