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I want to minimize some kind of risk sensitive cost. But, I am confused what cost criterion should I use. I am aware of only expected exponential utility. I want to know what are the other such measures in literature and which one among them will be good and in which sense it is better than the other.

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I have some problems understanding the question. Usually you want to maximize expected utility where costs are an argument of the utility function. Certainly, people can comment on many utility functions other than the exponential function but is perhaps not what you are looking for. Could you name the piece of literature you read? Maybe, this makes things more accessible. – Roberto Liebscher Aug 21 '14 at 8:17
@RobertoLiebscher: By expected utility I mean the following measure : $\lim_{n->\infty} \frac{1}{n} \ln (E[e^{\sum_{i=1}^{n} X_i}])$ where $X_i$ is single stage cost. There are other measures like variance related measure for risk cost criterion. I am not from math finance back ground. I think people with this background are very much familiar with such measures – RIchard Williams Aug 23 '14 at 12:22

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