Conditions on Risk Attitude for a Single Attribute
研究单一属性决策问题中风险态度的条件,发现只有特定类型的条件才存在对应的效用函数,并定义了两种导致广义对数或线性分式效用函数的条件。
For a decision problem having consequences described by a single attribute, the task of determining a utility function can be facilitated by verifying that the decision maker's risk attitude satisfies a condition such as constant risk aversion. We investigate a general class of conditions on risk attitude, and show that a utility function for such a condition may exist only when the condition is of a special type. Next, we discuss and interpret conditions of this special type. Then, we define two conditions which imply that the decision maker's risk attitude satisfies a condition of this type and is represented by a generalized logarithmic utility function or a linear fractional utility function.