Looking at some much more advanced related papers, I am now sure that it is well known. But I’d still love to see some reference, be it a paper or a textbook. Could you please help me with this?
Really? That’s cool. How about the slightly more general version that I stated down-thread? I hope at least that one would have been news to Bernoulli, entropy hadn’t been invented yet.
Yes, it is well known. Log utility is used not because it is particularly realistic, but because it makes this calculation easy.
Looking at some much more advanced related papers, I am now sure that it is well known. But I’d still love to see some reference, be it a paper or a textbook. Could you please help me with this?
Maybe Bernoulli’s 1738 paper on the St Petersburg paradox, where he suggested that utility should be the log of wealth.
Really? That’s cool. How about the slightly more general version that I stated down-thread? I hope at least that one would have been news to Bernoulli, entropy hadn’t been invented yet.