Best Upper and Lower Tchebycheff Bounds on Expected Utility
当分布偏斜时,利用已知的前三阶矩推导期望效用的上下界,对经济学和决策分析中的风险评估有用。
It is useful to have bounds on expected utility in situations in which the relevant distribution is skewed. This paper assumes that the third moment of the distribution is known and uses knowledge of the first three moments to derive upper and lower Tchebycheff bounds.