Local Utility Functions and Local Probability Transformations

J. Quiggin, Robert Chambers

    Research output: Contribution to journalArticlepeer-review

    2 Citations (Scopus)

    Abstract

    This note shows that, under appropriate conditions, preferences may be locally approximated by the linear utility or risk-neutral preference functional associated with a local probability transformation.
    Original languageEnglish
    Pages (from-to)111-120
    JournalJournal of Risk and Uncertainty
    Volume27
    Issue number2
    DOIs
    Publication statusPublished - 2003

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