Robust decisions for heterogeneous agents via certainty equivalents

DOI10.1016/J.EJOR.2024.04.003MaRDI QIDQ6572843zbMATH OpenFDO

Authors Anne G. Balter, Nikolaus Schweizer

Publication date 16 July 2024

Published in European Journal of Operational Research (Search for Journal in Brave)

zbMATH Keywords

financedecision analysisportfolio optimizationmultiple criteria analysis

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

Cites work

• scientific article; zbMATH DE number 3434895 (Why is no real title available?)
• scientific article; zbMATH DE number 910828 (Why is no real title available?)
• scientific article; zbMATH DE number 3106184 (Why is no real title available?)
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• Robust optimization
• Robustness
• Statistical decision functions which minimize the maximum risk
• Stochastic finance. An introduction in discrete time.
• The bargaining problem
• The economics of risk and time
• Time-consistency of optimal investment under smooth ambiguity
• Two-Person Cooperative Games
• When does aggregation reduce risk aversion?

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