Risk averse preference models for normalised lotteries based on simulation

DOI10.1504/IJOR.2010.033137MaRDI QIDQ991863zbMATH OpenOpenAlexFDO

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

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)

Recommendations

• Risk preferences over simple and compound public lotteries
• Nonmonotonic risk preferences over lottery comparison
• Estimating risk attitudes using lotteries: a large sample approach
• On some classes of normed and risk averse preferences
• Representing risk preferences in expected utility based decision models
• Recent developments in modelling preferences under risk
• Willingness-to-pay and willingness-to-accept for risky and ambiguous lotteries
• The normalized expected utility -- entropy and variance model for decisions under risk

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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