Risk, Return, and Utility

descriptionPublicationkeyboard_double_arrow_right Article 01 Jan 1995 English Publisher:Institute for Operations Research and the Management Sciences (INFORMS)Journal:Management Science, volume 41, pages 23-30 (issn: 0025-1909, eissn: 1526-5501,

Copyright policy )

Authors: David E. Bell;

doi: 10.1287/mnsc.41.1.23

Risk, Return, and Utility

- Summary
- Subjects
- Metrics

Abstract

Expected utility theory is widely acknowledged to be a rational approach to making decisions involving risk. Yet the methodology gives no explicit role to measures of risk and return. In this paper we identify those families of utility functions that are compatible with a risk-return interpretation. From these families we deduce utility-compatible measures of risk.

Keywords

expected utility theory, risk, return, utility, investments, Utility theory, utility-compatible measures of risk

Impact byBIP!

	selected citations These citations are derived from selected sources. This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).	122
	popularity This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.	Top 10%
	influence This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).	Top 1%
	impulse This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.	Top 10%