Open AccessNote—A Note on Multivariate Risk and Separable Utility Functions
Author(s) -
Richard Engelbrecht
Publication year - 1977
Publication title -
management science
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 4.954
H-Index - 255
eISSN - 1526-5501
pISSN - 0025-1909
DOI - 10.1287/mnsc.23.10.1143
Subject(s) - multivariate statistics , separable space , expected utility hypothesis , risk aversion (psychology) , mathematical economics , independence (probability theory) , multivariate analysis , function (biology) , isoelastic utility , risk management , economics , von neumann–morgenstern utility theorem , econometrics , utility theory , mathematics , statistics , finance , mathematical analysis , evolutionary biology , biology
Richard [Richard, Scott F. 1975. Multivariate risk aversion utility independence and separable utility function. Management Sci. 22 (1) 12-21.] derived a number of results on multivariate risk for sufficiently regular utility functions. The results generalize to quite arbitrary utility functions.