On an Asymptotic Property of Expected Utility

Author

Harvey Diamond
Gregory M. Gelles, Missouri University of Science and TechnologyFollow

Abstract

Suppose S_n = Σⁿ_i=1 X_i where the X_i are elements of a sequence of random variables. Letting U be a risk-averse utility function, we show that the asymptotic approximation E[U(S_n)] ~ U(E[S_n]) holds under generally applicable conditions.

Recommended Citation

Diamond, H., & Gelles, G. M. (1995). On an Asymptotic Property of Expected Utility. Economics Letters, 47(3-4), pp. 305-309. Elsevier.

The definitive version is available at https://doi.org/10.1016/0165-1765(94)00551-C

Department(s)

Economics

International Standard Serial Number (ISSN)

0165-1765

Document Type

Article - Journal

Document Version

Citation

File Type

text

Language(s)

English

Rights

© 1995 Elsevier, All rights reserved.

Publication Date

01 Mar 1995