Utility function estimation: The entropy approach

被引：13

作者：

Dionisio, Andreia ^{[1
]}

Reis, A. Heitor ^{[2
,3
]}

Coelho, Luis ^{[1
]}

机构：

[1] Univ Evora, Ctr Business Studies, CEFAGE UE, P-7000 Evora, Portugal

[2] Univ Evora, Dept Phys, P-7000 Evora, Portugal

[3] Univ Evora, Evora Geophys Ctr, P-7000 Evora, Portugal

来源：

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2008年 / 387卷 / 15期

关键词：

maximum entropy; utility functions; preferences; risk aversion;

D O I：

10.1016/j.physa.2008.02.072

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

The maximum entropy principle can be used to assign utility values when only partial information is available about the decision maker's preferences. In order to obtain such utility values it is necessary to establish an analogy between probability and utility through the notion of a utility density function. In this paper we explore the maximum entropy principle to estimate the utility function of a risk averse decision maker. (C) 2008 Elsevier B.V. All rights reserved.

引用

页码：3862 / 3867

页数：6

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