RISK, RETURN, AND UTILITY

被引：102

作者：

BELL, DE

机构：

来源：

MANAGEMENT SCIENCE | 1995年 / 41卷 / 01期

关键词：

RISK; RETURN; UTILITY; INVESTMENTS;

D O I：

10.1287/mnsc.41.1.23

中图分类号：

C93 [管理学];

学科分类号：

12 ; 1201 ; 1202 ; 120202 ;

摘要：

Expected utility theory is widely acknowledged to be a rational approach to making decisions involving risk. Yet the methodology gives no explicit role to measures of risk and return. In this paper we identify those families of utility functions that are compatible with a risk-return interpretation. From these families we deduce utility-compatible measures of risk.

引用

页码：23 / 30

页数：8

共 8 条

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BELL, DE
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[2] BELL DE, 1993, IN PRESS MANAGEMENT
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FISHBURN, PC
[J]. JOURNAL OF MATHEMATICAL PSYCHOLOGY, 1982, 25 (03) : 226 - 242
[4] FOUNDATIONS OF RISK MEASUREMENT .1. RISK AS PROBABLE LOSS
FISHBURN, PC
[J]. MANAGEMENT SCIENCE, 1984, 30 (04) : 396 - 406
[5] MARKOWITZ H, 1959, PORTFOLIO SELECTION
[6] PIAGGIO HTH, 1965, DIFFERENTIAL EQUATIO
[7] von Neumann J, 1947, THEORY GAMES EC BEHA
[8] [No title captured]

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