Risk Modeling Using Direct Solution of Nonlinear Approximations of the Utility Function Academic Article uri icon


  • A risk model is developed which involves direct solution of the expected utility maximization problem utilizing nonlinear programming. The model permits the use of utility functions exhibiting increasing, constant, and decreasing absolute risk aversion. Demonstrations are done using functions exhibiting such properties over normal, uniform, and triangular data sets. 1985 American Agricultural Economics Association.

published proceedings

  • American Journal of Agricultural Economics

author list (cited authors)

  • Lambert, D. K., & McCarl, B. A.

citation count

  • 45

complete list of authors

  • Lambert, David K||McCarl, Bruce A

publication date

  • November 1985