Modelling and optimization of risk

Submitted on 25th June 2015

This paper surveys the most recent advances in the context of decision making under uncertainty, with an emphasis on the modelling of risk-averse preferences using the apparatus of axiomatically defined risk functional, such as coherent measures of risk and deviation measures, and their connection to utility theory, stochastic dominance, and other more established methods

Source
Surveys in Operations Research and Management Science
Length of Resource
16
Resource File
Author
Pavlo Krokhmal, Michael Zabarankin, Stan Uryasev
Date Published
Publication Type
paper
Resource Type
academic