Expected Utility and Risk-Aversion: Theoretical Foundations

In course

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Description

This lecture covers the theoretical foundations of expected utility and risk-aversion, including the Von Neumann-Morgenstern theorem, Allais Paradox, and insurance premium calculations with negative exponential utility. It also explores the concepts of second-order stochastic dominance and optimal portfolio choice in asset pricing.

Instructor

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Official source

https://mediaspace.epfl.ch/media/0_k47ilevt

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Ontological neighbourhood

Economics

Microeconomics: Financial economics

Statistics

Statistical inference: Decision theory

Business

Business administration: Risk management

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