Expected Utility Inequalities: Theory and Applications
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Copyright © 2007 Springer. The original publication is available at http://dx.doi.org/10.1007/s00199-007-0272-1.
Abstract
Suppose we know the utility function of a risk averse decision maker who values a risky prospect X at a price CE. Based on this information alone I develop upper bounds for the tails of the probabilistic belief about X of the decision maker. In the paper I also illustrate how to use these expected utility bounds in a variety of applications, which include the estimation of risk measures from observed data, option valuation, and the study of credit risk.
Suggested Citation
Eduardo Zambrano. "Expected Utility Inequalities: Theory and Applications" Economic Theory 36.1 (2008): 147-158.
Available at: http://works.bepress.com/ezambran/11