Question
Suppose that a decision maker is an expected utility maximiser with an increasing and continuous Bernoulli utility function u() on amounts of money. Show
Suppose that a decision maker is an expected utility maximiser with an increasing and continuous Bernoulli utility function u() on amounts of money. Show that the decision maker is risk averse if and only if C(F,u) [ xdF(x) for every gamble F() where C(F, u) represents the certainty equivalent for gamble F(-).
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Making Hard Decisions with decision tools
Authors: Robert Clemen, Terence Reilly
3rd edition
538797576, 978-0538797573
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