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Robust decision making using a general utility set
16 references·1 citing·31 second hop
Robust decision making using a general utility set (2018)Robust decision making using a general ut…Theory of games and economic behavior (2019)Theory of games and economic …Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems (2010)Distributionally Robust Optim…Lectures on Stochastic Programming: Modeling and Theory (2009)Lectures on Stochastic Progra…The Price of Robustness (2004)The Price of RobustnessStochastic Programming (1995)Stochastic ProgrammingDecisions with Multiple Objectives: Preferences and Value Tradeoffs. (1994)Decisions with Multiple Objec…Advances in prospect theory: Cumulative representation of uncertainty (1992)Advances in prospect theory: …Maxmin expected utility with non-unique prior (1989)Maxmin expected utility with …Prospect theory: An analysis of decision under risk (1988)Prospect theory: An analysis …Cardinal Welfare, Individualistic Ethics, and Interpersonal Comparisons of Utility (1980)Cardinal Welfare, Individuali…Decisions with Multiple Objectives: Preferences and Value Tradeoffs. (1977)Decisions with Multiple Objec…Risk Aversion in the Small and in the Large (1976)Risk Aversion in the Small an…Aspects of the Theory of Risk-Bearing. (1966)Aspects of the Theory of Risk…Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small an…The Utility of Wealth (1952)The Utility of WealthTheory of Games and Economic Behavior (1946)Theory of Games and Economic …Ambiguity in risk preferences in robust stochastic optimization (2016)Ambiguity in risk preferences…Judgment under Uncertainty: Heuristics and Biases (1975)Prospect Theory: An Analysis of Decision under Risk (1979)Loss Aversion in Riskless Choice: A Reference-Dependent Model (1991)Individual differences in reasoning: Implications for the rationality debate? (2000)A perspective on judgment and choice: Mapping bounded rationality. (2003)Risk, Ambiguity, and the Savage Axioms (1961)Utility Theory for Decision Making (1971)Recent developments in modeling preferences: Uncertainty and ambiguity (1992)Chapter 18 A survey of behavioral finance (2003)A Smooth Model of Decision Making under Ambiguity (2005)Conjoint Analysis in Consumer Research: Issues and Outlook (1978)Risk management in a dynamic society: a modelling problem (1997)Best-worst multi-criteria decision-making method (2014)Development of prosocial, individualistic, and competitive orientations: Theory and preliminary evidence. (1997)Political Choice in Britain (2004)Theory and Applications of Robust Optimization (2010)Solving two-stage robust optimization problems using a column-and-constraint generation method (2013)Data-Driven Distributionally Robust Optimization Using the Wasserstein Metric: Performance Guarantees and Tractable Reformulations (2015)The Framing of Decisions and the Psychology of Choice (1981)Exploration and Exploitation in Organizational Learning (1991)Explicating dynamic capabilities: the nature and microfoundations of (sustainable) enterprise performance (2007)Toward a positive theory of consumer choice (1980)Non-cooperative games (1989)Financial Intermediation and Delegated Monitoring (1984)Well-being : the foundations of hedonic psychology (1999)Citizen Participation in Decision Making: Is It Worth the Effort? (2004)Extended VIKOR method in comparison with outranking methods (2006)Multi-criteria decision analysis in environmental sciences: Ten years of applications and trends (2011)On the measurement of inequality (1970)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The arbitrage theory of capital asset pricing (1976)
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References

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  • 2019Theory of games and economic behavior16,630 cited
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  • 1995

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Stochastic Programming
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  • 2016Ambiguity in risk preferences in robust stochastic optimization31 cited