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utility function from maximum entropy principle效用函数的最大熵原理
Entropy 2006, 8[1], 18-24
Entropy
ISSN 1099-4300
/entropy/
Full paper
Utility Function from Maximum Entropy
Principle
Amir H. Darooneh
Sufi Institute, P.O.Box 45195-1547, Zanjan, Iran
and
Department of Physics, Zanjan University, P.O.Box 45196-313, Zanjan, Iran.
E-mail: darooneh@mail.znu.ac.ir
Received: 4 December 2005 / Accepted: 30 January 2006 / Published: 31 January 2006
Abstract: Recently we used the maximum entropy principle for finding the price density in a
multi agent insurance market. The result is similar to what the Buhlmann had obtained by max-
imizing the utility function. Here we begin with the price density that is derived by applying the
maximum entropy principle to a conservative economic system (exchange market), then reverse
the Buhlmann calculation to find the utility function and the risk aversion of agents with respect
to this density.
Keywords: Utility Function, Price Density, Maximum Entropy Principle, Risk Aversion.
PACS codes:89.65.Gh, 05.20.-y.
Entropy 2006, 8[1], 18-24 19
1 Introduction
Utility function is one of the most important and useful concepts in the economics which show
the tendency of an economic agent for acquiring more benefit. It is borrowed from the concept of
potential energy in physics for modeling the economic equilibrium in similar fashion to mechanical
equilibrium [1]. There is no direct way for finding the utility function of an agent with respect
to it’s financial condition, namely its wealth. The utility function of an agent may be computed
empirically from analysis of its trading data that demonstra
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