Expected Utility Inequalities: Theory and ApplicationsEconomic Theory
AbstractSuppose 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.
Citation InformationEduardo Zambrano. "Expected Utility Inequalities: Theory and Applications" Economic Theory Vol. 36 Iss. 1 (2008) p. 147 - 158
Available at: http://works.bepress.com/ezambran/11/