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One-Switch Utility Functions and a Measure of Risk

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Cited by:

  1. Ali E. Abbas & David E. Bell, 2012. "METHODS---One-Switch Conditions for Multiattribute Utility Functions," Operations Research, INFORMS, vol. 60(5), pages 1199-1212, October.
  2. Dionne, Georges & Li, Jingyuan, 2014. "Comparative Ross risk aversion in the presence of mean dependent risks," Journal of Mathematical Economics, Elsevier, vol. 51(C), pages 128-135.
  3. Gollier, Christian, 2002. "Time Horizon and the Discount Rate," Journal of Economic Theory, Elsevier, vol. 107(2), pages 463-473, December.
  4. Gollier, Christian & Zeckhauser, Richard J, 2002. "Horizon Length and Portfolio Risk," Journal of Risk and Uncertainty, Springer, vol. 24(3), pages 195-212, May.
  5. Horst Zank, 2001. "Cumulative Prospect Theory for Parametric and Multiattribute Utilities," Mathematics of Operations Research, INFORMS, vol. 26(1), pages 67-81, February.
  6. Thomas Eichner, 2008. "Mean Variance Vulnerability," Management Science, INFORMS, vol. 54(3), pages 586-593, March.
  7. Eugenio Peluso & Alain Trannoy, 2012. "The Cake-eating problem: Non-linear sharing rules," Working Papers 26/2012, University of Verona, Department of Economics.
  8. Ilia Tsetlin & Robert L. Winkler, 2009. "Multiattribute Utility Satisfying a Preference for Combining Good with Bad," Management Science, INFORMS, vol. 55(12), pages 1942-1952, December.
  9. Jim Musumeci & Joe Musumeci, 1999. "A Dynamic-Programming Approach to Multiperiod Asset Allocation," Journal of Financial Services Research, Springer;Western Finance Association, vol. 15(1), pages 5-21, February.
  10. Carlos Rodríguez Raposo & Pablo Coello Pulido, 2021. "Ergodicity transformation for additive-ruin wealth dynamic," Working Papers hal-03198073, HAL.
  11. Zank H., 1998. "Cumulative Prospect Theory for Parametric and Multiattribute Utilities," Research Memorandum 008, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  12. Conniffe, Denis, 2008. "Generalised Means of Simple Utility Functions with Risk Aversion," The Economic and Social Review, Economic and Social Studies, vol. 39(1), pages 1-12.
  13. Sancetta, A., 2005. "Copula Based Monte Carlo Integration in Financial Problems," Cambridge Working Papers in Economics 0506, Faculty of Economics, University of Cambridge.
  14. Ali E. Abbas & Zhengwei Sun, 2019. "Archimedean Utility Copulas with Polynomial Generating Functions," Decision Analysis, INFORMS, vol. 16(3), pages 218-237, September.
  15. Denuit, Michel M. & Eeckhoudt, Louis & Schlesinger, Harris, 2013. "When Ross meets Bell: The linex utility function," Journal of Mathematical Economics, Elsevier, vol. 49(2), pages 177-182.
  16. Ilia Tsetlin & Robert L. Winkler, 2012. "Multiattribute One-Switch Utility," Management Science, INFORMS, vol. 58(3), pages 602-605, March.
  17. Ali E. Abbas, 2007. "Invariant Utility Functions and Certain Equivalent Transformations," Decision Analysis, INFORMS, vol. 4(1), pages 17-31, March.
  18. LiCalzi, Marco & Sorato, Annamaria, 2006. "The Pearson system of utility functions," European Journal of Operational Research, Elsevier, vol. 172(2), pages 560-573, July.
  19. Ali E. Abbas & David E. Bell, 2011. "One-Switch Independence for Multiattribute Utility Functions," Operations Research, INFORMS, vol. 59(3), pages 764-771, June.
  20. Nina Anchugina, 2017. "One-Switch Discount Functions," Papers 1702.02254, arXiv.org.
  21. Pedersen, Christian S., 2000. "Separating risk and return in the CAPM: A general utility-based model," European Journal of Operational Research, Elsevier, vol. 123(3), pages 628-639, June.
  22. Zank, H., 1998. "Cumulative prospect theory for parametric and multiattribute utilities," Research Memorandum 019, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  23. Georges Hübner & Thomas Lejeune, 2015. "Portfolio choice and investor preferences : A semi-parametric approach based on risk horizon," Working Paper Research 289, National Bank of Belgium.
  24. Gregory M. Gelles & Douglas W. Mitchell, 1999. "Broadly Decreasing Risk Aversion," Management Science, INFORMS, vol. 45(10), pages 1432-1439, October.
  25. Pelin G. Canbolat, 2019. "Stochastic Contests with Linex Utility Functions," Alphanumeric Journal, Bahadir Fatih Yildirim, vol. 7(1), pages 113-128, June.
  26. Gollier, Christian, 2002. "Discounting an uncertain future," Journal of Public Economics, Elsevier, vol. 85(2), pages 149-166, August.
  27. Gelles, Gregory M. & Mitchell, Douglas W., 1999. "Ordering utility functions based on mean-seeking behavior," The Quarterly Review of Economics and Finance, Elsevier, vol. 39(3), pages 317-328.
  28. Georges Dionne & Jingyuan Li, 2012. "Comparative Ross Risk Aversion in the Presence of Quadrant Dependent Risks," Cahiers de recherche 1226, CIRPEE.
  29. Ayc{s}e Kocab{i}y{i}kou{g}lu & Ioana Popescu, 2007. "Managerial Motivation Dynamics and Incentives," Management Science, INFORMS, vol. 53(5), pages 834-848, May.
  30. Nakamura, Yutaka, 1996. "Sumex utility functions," Mathematical Social Sciences, Elsevier, vol. 31(1), pages 39-47, February.
  31. Electra V. Petracou & Anastasios Xepapadeas & Athanasios N. Yannacopoulos, 2022. "Decision Making Under Model Uncertainty: Fréchet–Wasserstein Mean Preferences," Management Science, INFORMS, vol. 68(2), pages 1195-1211, February.
  32. Franke, Günter & Weber, Martin, 1997. "Risk-value efficient portfolios and asset pricing," Discussion Papers, Series II 354, University of Konstanz, Collaborative Research Centre (SFB) 178 "Internationalization of the Economy".
  33. David E. Bell & Peter C. Fishburn, 2001. "Strong One-Switch Utility," Management Science, INFORMS, vol. 47(4), pages 601-604, April.
  34. Wang, Jianli & Li, Jingyuan, 2014. "Decreasing Ross risk aversion: Higher-order generalizations and implications," Journal of Mathematical Economics, Elsevier, vol. 55(C), pages 136-142.
  35. Liu, Liqun & Meyer, Jack, 2013. "Substituting one risk increase for another: A method for measuring risk aversion," Journal of Economic Theory, Elsevier, vol. 148(6), pages 2706-2718.
  36. Birgit Löhndorf & Anna-Lena Sachs & Rudolf Vetschera, 2014. "Stability of probability effects in utility elicitation," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 22(4), pages 755-777, December.
  37. Niyazi Onur Bakir, 2015. "Monotonicity of the Selling Price of Information with Risk Aversion in Two Action Decision Problems," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 7(2), pages 71-90, June.
  38. Kang, Byung Jin & Kim, Tong Suk, 2006. "Option-implied risk preferences: An extension to wider classes of utility functions," Journal of Financial Markets, Elsevier, vol. 9(2), pages 180-198, May.
  39. Jianmin Jia & James S. Dyer & John C. Butler, 1999. "Measures of Perceived Risk," Management Science, INFORMS, vol. 45(4), pages 519-532, April.
  40. Gollier, Christian & Schlesinger, Harris, 2003. "Preserving preference rankings under background risk," Economics Letters, Elsevier, vol. 80(3), pages 337-341, September.
  41. Gelles, Gregory M. & Mitchell, Douglas W., 2002. "Increasingly mean-seeking utility functions and n-asset portfolios," The Quarterly Review of Economics and Finance, Elsevier, vol. 42(5), pages 911-919.
  42. Ali E. Abbas & James E. Matheson & Robert F. Bordley, 2009. "Effective utility functions induced by organizational target-based incentives," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 30(4), pages 235-251.
  43. Ali E. Abbas & János Aczél, 2010. "The Role of Some Functional Equations in Decision Analysis," Decision Analysis, INFORMS, vol. 7(2), pages 215-228, June.
  44. Craig W. Kirkwood, 2004. "Approximating Risk Aversion in Decision Analysis Applications," Decision Analysis, INFORMS, vol. 1(1), pages 51-67, March.
  45. Dana R. Clyman & Michael R. Walls & James S. Dyer, 1999. "Too Much of a Good Thing?," Operations Research, INFORMS, vol. 47(6), pages 957-965, December.
  46. Bjørn Sandvik & Lars Thorlund-Petersen, 2010. "Sensitivity Analysis of Risk Tolerance," Decision Analysis, INFORMS, vol. 7(3), pages 313-321, September.
  47. Mitchell, Douglas W. & Gelles, Gregory M., 2003. "Risk-value models: Restrictions and applications," European Journal of Operational Research, Elsevier, vol. 145(1), pages 109-120, February.
  48. Rihab Bedoui & Houda BenMabrouk, 2017. "CAPM with various utility functions: Theoretical developments and application to international data," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1343230-134, January.
  49. BakIr, Niyazi Onur & Klutke, Georgia-Ann, 2011. "Information and preference reversals in lotteries," European Journal of Operational Research, Elsevier, vol. 210(3), pages 752-756, May.
  50. Ilia Tsetlin & Robert L. Winkler, 2005. "Risky Choices and Correlated Background Risk," Management Science, INFORMS, vol. 51(9), pages 1336-1345, September.
  51. Dyer, James S. & Jianmin Jia, 1997. "Relative risk--value models," European Journal of Operational Research, Elsevier, vol. 103(1), pages 170-185, November.
  52. Trappey, Charles V. & Shih, Tsui-Yii & Trappey, Amy J.C., 2007. "Modeling international investment decisions for financial holding companies," European Journal of Operational Research, Elsevier, vol. 180(2), pages 800-814, July.
  53. Ioana Popescu, 2007. "Robust Mean-Covariance Solutions for Stochastic Optimization," Operations Research, INFORMS, vol. 55(1), pages 98-112, February.
  54. Ali E. Abbas & David E. Bell, 2015. "Ordinal One-Switch Utility Functions," Operations Research, INFORMS, vol. 63(6), pages 1411-1419, December.
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