منابع مشابه
Risk averse decision making under catastrophic risk
A nonstandard probabilistic setting for modeling of the risk of catastrophic events is presented. It allows random variables to take on infinitely large negative values with non-zero probability, which corresponds to catastrophic consequences unmeasurable in monetary terms, e.g. loss of human lives. Thanks to this extension, the safety-first principle is proved to be consistent with traditional...
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Huachun Xiong, Jinxing Xie, Xiaoxue Deng Department of Mathematical Sciences, Tsinghua University, Beijing 100084, China Abstract Traditional literature studying overbooking problems focuses on risk-neutral decision makers. In this paper, we propose a multi-period overbooking model incorporating risk-aversion and extend well-known structural results (the 3-region policy) under the risk-neutral ...
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Eliciting the utility of a decision maker is difficult. In this paper, we develop a flexible decision making framework, which uses the concept of utility robustness to address the problem of ambiguity and inconsistency in utility assessments. The ideas are developed by giving a probabilistic interpretation to utility and marginal utility functions. Boundary and additional conditions are used to...
متن کاملA Risk-Averse Newsvendor Model Under CVaR Decision Criterion
The classical risk-neutral newsvendor problem is to decide the order quantity to maximize the one period expected pro.t under a given demand distribution. In this paper we consider a risk-averse newsvendor with a stochastic price-dependent demand. We use the Conditional Value-at-Risk (CVaR), a risk measure commonly used in finance, as the decision criterion. The aim of our study is to investiga...
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ژورنال
عنوان ژورنال: Journal of Vision
سال: 2012
ISSN: 1534-7362
DOI: 10.1167/12.9.158