Utility Function from Maximum Entropy Principle
Statistical Mechanics
2008-12-10 v1 Pricing of Securities
Abstract
We apply the maximum entropy principle to economic systems in equilibrium and find the density function for the market's wealth. This is the same as price density which is used for insurance pricing. The risk aversion parameter of the agent then it's utility function with respect to this density is derived.
Keywords
Cite
@article{arxiv.cond-mat/0402240,
title = {Utility Function from Maximum Entropy Principle},
author = {Amir H. Darooneh},
journal= {arXiv preprint arXiv:cond-mat/0402240},
year = {2008}
}
Comments
6 pages, revtex4