Utility Function from Maximum Entropy Principle

Details Utility Function from Maximum Entropy Principle Utility Function from Maximum Entropy Principle

2004-02-09

arxiv.org/abs/cond-mat/0402240v1

Physics

Condensed Matter

Statistical Mechanics

6 pages, revtex4

Scientific paper

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.

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