Accession Number:

AD0755872

Title:

Concave Utilities are Distinguished by Their Optimal Strategies,

Descriptive Note:

Corporate Author:

CALIFORNIA UNIV IRVINE DEPT OF MATHEMATICS

Personal Author(s):

Report Date:

1973-02-01

Pagination or Media Count:

24.0

Abstract:

Mossin and Samuelson have shown that different utilities can lead to different optimal strategies in particular the optimal investment strategy for utility log x is not necessarily the optimal strategy for utility x sup gammagamma, gamma not 0, as was noted by Thorp for gamma 1. These results are special cases of a general result, of fundamental importance for utility theory, which the authors establish here If two strictly increasing concave utilities are not equivalent, then there is a one-stage investment setting, which may be chosen to consist only of cash and a two-valued random variable, in which these utilities have different optimal strategies. Variations on these results are given and some problems are discussed. Author

Subject Categories:

  • Economics and Cost Analysis
  • Operations Research

Distribution Statement:

APPROVED FOR PUBLIC RELEASE