Parametric multi-attribute utility functions for optimal profit under risk constraints

DOI10.1007/S11238-011-9255-6MaRDI QIDQ430155zbMATH OpenOpenAlexFDO

Authors Babacar Seck, Laetitia Andrieu, Michel De Lara

Publication date 20 June 2012

Published in Theory and Decision (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11238-011-9255-6

zbMATH Keywords

risk measuresloss aversionmaxminconditional value-at-riskutility functionsnon-expected utility theory

Mathematics Subject Classification ID

Utility theory (91B16)

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Cites work

• scientific article; zbMATH DE number 3955816 (Why is no real title available?)
• AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT
• Advances in prospect theory: cumulative representation of uncertainty
• Coherent measures of risk
• Expected Utility, Penalty Functions, and Duality in Stochastic Nonlinear Programming
• From stochastic dominance to mean-risk models: Semideviations as risk measures
• Maxmin expected utility with non-unique prior
• Maxmin under risk
• Optimization with Stochastic Dominance Constraints
• Prospect Theory: An Analysis of Decision under Risk
• Prospect theory. For risk and ambiguity.
• The economics of risk and time
• Theory of games and economic behavior.

Cited in

(2)

• Decision-making under risk: when is utility-maximization equivalent to risk-minimization?
• On the conditional value-at-risk probability-dependent utility function

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