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

DOI10.1007/S11238-011-9255-6zbMATH Open1242.91068OpenAlexW2021552448MaRDI QIDQ430155FDOQ430155

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

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zbMATH Keywords

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

Mathematics Subject Classification ID

Utility theory (91B16)

Cites Work

• Coherent measures of risk
• Theory of games and economic behavior.
• Maxmin expected utility with non-unique prior
• From stochastic dominance to mean-risk models: Semideviations as risk measures
• Prospect theory. For risk and ambiguity.
• Optimization with Stochastic Dominance Constraints
• Advances in prospect theory: cumulative representation of uncertainty
• The economics of risk and time
• Title not available (Why is that?)
• Prospect Theory: An Analysis of Decision under Risk
• AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT
• Maxmin under risk
• Expected Utility, Penalty Functions, and Duality in Stochastic Nonlinear Programming

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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