ABSTRACT
This chapter focuses on the utility function elicitation, and explores the problem of elicitation when the decision maker is a collective body consisting of a multitude of individuals. Knowledge about the decision maker’s attitude towards risk is relevant to choose the optimal action. The considerations about the one-to-one relationship between curvature of utility function and attitude towards risk hold under the expected utility theory and derive from the linearity property of probabilities. In the literature were conducted several experiments aimed at identifying some regularities in the shape of the utility functions. One of the more challenging aspects connected with the practical use of the utility theory concerns the elicitation of the utility function and the elicitation of the subjective probability distribution of the states of nature. The decision problem involves non-monetary outcomes: in such cases it is preliminarily necessary to formulate qualitative outcomes in quantitative terms, using suitable measurement units.
