A recourse certainty equivalent for decisions under uncertainty

DOI10.1007/BF02204807zbMath0741.90001MaRDI QIDQ1178430

Aharon Ben-Tal, Adi Ben-Israel

Publication date: 26 June 1992

Published in: Annals of Operations Research (Search for Journal in Brave)

zbMATH Keywords

certainty equivalentrisk aversiondecision-making under uncertaintyAllais paradoxvalue-risk function

Mathematics Subject Classification ID

Decision theory (91B06) Applications of mathematical programming (90C90) Stochastic programming (90C15) Utility theory (91B16)

Related Items (10)

On the use of optimization models for portfolio selection: A review and some computational results ⋮ On the conditional value-at-risk probability-dependent utility function ⋮ Duality and equilibrium prices in economics of uncertainty ⋮ Properties and calculation of multivariate risk measures: MVaR and MCVaR ⋮ Decreasing the sensitivity of open-loop optimal solutions in decision making under uncertainty ⋮ Portfolio theory for the recourse certainty equivalent maximizing investor ⋮ Certainty equivalents and information measures: Duality and extremal principles ⋮ Optimal initial capital induced by the optimized certainty equivalent ⋮ Optimal power control in a wireless network using a model with stochastic link coefficients ⋮ AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT

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