Accession Number : AD0755872

Title :   Concave Utilities are Distinguished by Their Optimal Strategies,

Corporate Author : CALIFORNIA UNIV IRVINE DEPT OF MATHEMATICS

Personal Author(s) : Thorp,Edward ; Whitley,Robert

Report Date : FEB 1973

Pagination or Media Count : 24

Abstract : Mossin and Samuelson have shown that different utilities can lead to different optimal strategies; in particular the optimal investment strategy for utility log x is not necessarily the optimal strategy for utility (x sup gamma)/gamma, gamma not = 0, as was noted by Thorp for gamma = 1. These results are special cases of a general result, of fundamental importance for utility theory, which the authors establish here: If two strictly increasing concave utilities are not equivalent, then there is a one-stage investment setting, which may be chosen to consist only of cash and a two-valued random variable, in which these utilities have different optimal strategies. Variations on these results are given and some problems are discussed. (Author)

Descriptors :   (*ECONOMICS, MONEY), GAME THEORY, CONVEX SETS, MATHEMATICAL MODELS, RANDOM VARIABLES, THEOREMS

Subject Categories : Economics and Cost Analysis
      Operations Research

Distribution Statement : APPROVED FOR PUBLIC RELEASE