QuoteOriginally posted by: JohnnyThere's only one place in finance where the "risk preference" term cancels out and that's where markets are complete. By construction this doesn't apply in this case. So any approach that doesn't take risk preferences into account (whether by utility function or some other way) is a guaranteed route to the poor house. Take care!I am not saying that the concept of risk preference is uninteresting. All I am saying is that utility functions are very unpractical, and that any paper based on this concept has a guaranteed route to the practioner's trash can.Furthermore, in the particular case of the paper by Mark Davis, the analysis applies only to payoffs with lower bounds, which disqualifies short calls, and although I did not look at the math in detail, I suspect that this assymetry entails different theoretical values for the option buyer and the option issuer, which would definitely be another annoying aspect.In any case I am not criticizing fundamental research. I just happen to be more interested in implementable research. The success of the Black-Scholes framework is that it relies on an implementable replication strategy.Cheers,e.