A preference ranking model based on both mean-variance analysis and cumulative distribution function using simulation (Q840601)
From MaRDI portal
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | A preference ranking model based on both mean-variance analysis and cumulative distribution function using simulation |
scientific article |
Statements
A preference ranking model based on both mean-variance analysis and cumulative distribution function using simulation (English)
0 references
13 September 2009
0 references
Summary: In decision-making problems under uncertainty, mean-variance analysis consistent with expected utility theory plays an important role in analysing preferences for different alternatives. In this paper, a new approach for mean-variance analysis based on cumulative distribution functions is proposed. Using simulation, a new algorithm is developed, which generates pairs of random variables to be representative for each pair of uncertain alternatives. The proposed model is concerned with financial investment for risk-averse investors with non-negative lotteries. Furthermore, the proposed technique in this paper can be applied to different distribution functions for lotteries or utility functions.
0 references
mean variance theory
0 references
expected utility theory
0 references
cumulative distribution function
0 references
simulation
0 references
preference ranking
0 references
modelling
0 references
decision making
0 references
uncertainty
0 references
financial investment
0 references
risk-averse investors
0 references
non-negative lotteries
0 references
risk aversion
0 references