Risk Modeling Using Direct Solution of Nonlinear Approximations of the Utility Function
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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.
author list (cited authors)
Lambert, D. K., & McCarl, B. A.