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Weak order stability under risk
Author(s) -
Kämpke Thomas
Publication year - 1995
Publication title -
naval research logistics (nrl)
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.665
H-Index - 68
eISSN - 1520-6750
pISSN - 0894-069X
DOI - 10.1002/1520-6750(199512)42:8<1191::aid-nav3220420806>3.0.co;2-o
Subject(s) - expected utility hypothesis , bernoulli's principle , stability (learning theory) , preference , subjective expected utility , mathematical economics , order (exchange) , bellman equation , decision maker , expected value , function (biology) , value of information , value (mathematics) , mathematical optimization , mathematics , computer science , economics , operations research , statistics , finance , machine learning , evolutionary biology , engineering , biology , aerospace engineering
Abstract The assessment of a Bernoulli utility function is often accomplished by an approximation process which makes use of ever more information on the preference as it is elicited from a decision maker. Simultaneous approximations of the utility function and the underlying distributions are generally not sufficient for the expectations to converge to the expected value of the respective limits. We give various sufficient stability conditions for the expected utility. All these conditions contain some “uniformness”. © 1995 John Wiley & Sons, Inc.