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Procedures for Estimating Exponential Utility Functions

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  • Buccola, Steven T.

Abstract

Exponential utility functions have the desirable feature of constant absolute risk aversion but present estimation problems. logarithmic transformations of these functions do not conform to Von Neumann-Morgenstern axioms and hence cannot be used as bases for a best fit. A proper criterion for selecting such a fit is described.

Suggested Citation

  • Buccola, Steven T., 1977. "Procedures for Estimating Exponential Utility Functions," 1977 AAEA-WAEA Joint Meeting, July 31-August 3, San Diego, California 283669, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    • Handle: RePEc:ags:aaea77:283669
    DOI: 10.22004/ag.econ.283669
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    Keywords

    Risk and Uncertainty;

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