Econometrica: Jan 1973, Volume 41, Issue 1
Risk Independence and Multiattributed Utility Functions
Ralph L. KeeneyThe concepts of conditional risk aversion, the conditional risk premium, and risk independence pertaining to multiattributed utility functions are defined. The latter notion is then generalized to what is called utility independence. A number of theorems useful for simplifying the assessment of multiattributed utility functions given certain risk independence and utility independence assumptions are stated.
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