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Modeling and optimization of risk

By Pavlo Krokhmal, Michael Zabarankin and Stan Uryasev

Abstract

This paper surveys the most recent advances in the context of decision making under uncertainty, with an emphasis on the modeling of risk-averse preferences using the apparatus of axiomatically defined risk functionals, such as coherent measures of risk and deviation measures, and their connection to utility theory, stochastic dominance, and other more established methods

Topics: risk, uncertainty, optimization, duality, utility theory, stochastic dominance, coherent risk measures, deviation measures, value-at-risk
Year: 2013
OAI identifier: oai:CiteSeerX.psu:10.1.1.297.9625
Provided by: CiteSeerX
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