کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
481758 | 1446158 | 2009 | 4 صفحه PDF | دانلود رایگان |
![عکس صفحه اول مقاله: Comparing financial investments by their state dependent returns: A one-way log utility representation Comparing financial investments by their state dependent returns: A one-way log utility representation](/preview/png/481758.png)
In a standard single-period model under risk, we formalize and discuss an intuitive criterion for the binary comparison of financial investments. Two investments – x and y – are compared by calculating the present value of x’s payoffs using the state dependent returns of y as discount factors. The induced preference is asymmetric but exhibits intransitive indifference. If the feasible set is convex, then the criterion selects a unique maximum element. Interestingly, it can be shown that the induced preference can be represented by a one-way expected utility representation employing logarithmic utility. Besides giving a relevant and illustrative example for a one-way utility representation, this result provides a new interpretation of using logarithmic utility for expected utility based decision-making.
Journal: European Journal of Operational Research - Volume 193, Issue 1, 16 February 2009, Pages 323–326