Risk averse preference models for normalised lotteries based on simulation

DOI10.1504/IJOR.2010.033137zbMATH Open1194.91068OpenAlexW1994640975MaRDI QIDQ991863FDOQ991863

Authors: Khwazbeen Saida Fatah, Peng Shi, Jamal R. M. Ameen, R. J. Wiltshire 

Publication date: 8 September 2010

Published in: International Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1504/ijor.2010.033137

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zbMATH Keywords

simulationpreference modelscumulative-functionexpected-utility theorymean-variance theorynormalised lotteriesranking preferencesrisk averse modelling

Mathematics Subject Classification ID

Decision theory (91B06) Utility theory (91B16) Actuarial science and mathematical finance (91G99)

Cited In (2)

• An expected regret minimization portfolio selection model
• A preference ranking model based on both mean-variance analysis and cumulative distribution function using simulation

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