In this problem, the optimal path is one that maximizes the expected utility, with the utility function being piecewise-linear and concave. Such a utility function can be used to approximate nonlinear ...

This paper examines the effect of alternative utility functions and parameter values on the optimal composition of a risky investment portfolio. Normally distributed assets are the setting for the ...

We introduce a variety of new independence conditions for multiattribute utility functions that permit preference dependencies among the attributes of a decision problem.