RISK, RETURN, AND UTILITY

Authors
BELL DE
Citation
De. Bell, RISK, RETURN, AND UTILITY, Management science, 41(1), 1995, pp. 23-30
Citations number
8
Categorie Soggetti
Management,"Operatione Research & Management Science
Journal title
Management science → ACNP
ISSN journal
00251909
Volume
41
Issue
1
Year of publication
1995
Pages
23 - 30
Database
ISI
SICI code
0025-1909(1995)41:1<23:RRAU>2.0.ZU;2-M
Abstract
Expected utility theory is widely acknowledged to be a rational approa ch to making decisions involving risk. Yet the methodology gives no ex plicit role to measures of risk and return. In this paper we identify those families of utility functions that are compatible with a risk-re turn interpretation. From these families we deduce utility-compatible measures of risk.