Decision tree analysis for a risk averse decision maker: CVaR Criterion

Risk aversion is a prevalent phenomenon when sufficiently large amounts are at risk. In this paper, we introduce a new prescriptive approach for coping with risk in sequential decision problems with discrete scenario space. We use Conditional Value-at-Risk (CVaR) risk measure as optimization criterion and prove that there is an explicit linear representation of the proposed model for the problem.

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Year of publication:	2013
Authors:	Eskandarzadeh, Saman ; Eshghi, Kourosh
Published in:	European Journal of Operational Research. - Elsevier, ISSN 0377-2217. - Vol. 231.2013, 1, p. 131-140
Publisher:	Elsevier
Subject:	Discrete scenario space \| Sequential decision making \| Conditional Value-at-Risk \| Risk aversion

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010682501