A Class of Utility Functions Containing all the Common Utility Functions

Management Science · 1987 · Volume 33 · Issue 8

Abstract

This paper presents a class of utility functions (class A ∞ ) that contains all of the utility functions commonly used for mathematical modeling: the class consisting of those utility functions whose derivatives alternate in sign. A simple representation via mixtures of exponential utilities is provided for this class which is both mathematically convenient and conducive to functional operations. A connection with Laplace transforms and the resultant implications for preference relations, aggregation and utility assessment are discussed.

Keywords

mixed exponential utilities, completely monotone utilities, utility function estimation, characterization of utilities

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