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A central limit theorem, loss aversion and multi-armed bandits

Chen, Zengjing; Epstein, Larry G.; Zhang, Guodong - In: Journal of economic theory 209 (2023), pp. 1-35

Persistent link: https://www.econbiz.de/10014371740

Revisiting almost second-degree stochastic dominance

Tzeng, Larry Y.; Huang, Rachel J.; Shih, Pai-ta - In: Management science : journal of the Institute for … 59 (2013) 5, pp. 1250-1254

Persistent link: https://www.econbiz.de/10009751102

Technical note : stochastic optimization with decisions truncated by positively dependent random variables

Chen, Xin; Gao, Xiangyu - In: Operations research 67 (2019) 5, pp. 1321-1327

Persistent link: https://www.econbiz.de/10012107775

Almost stochastic dominance for most risk-averse decision makers

Luo, Chunling; Tan, Chin Hon - In: Decision analysis : a journal of the Institute for … 17 (2020) 2, pp. 169-184

Persistent link: https://www.econbiz.de/10012249957

Stochastic Dominance and Nonparametric Comparative Revealed Risk Aversion

Heufer, Jan - 2012

It is shown how to test revealed preference data on choices under uncertainty for consistency with first and second order stochastic dominance (FSD or SSD). The axiom derived for SSD is a necessary and sufficient condition for risk aversion. If an investor is risk averse, stochastic dominance...

Persistent link: https://www.econbiz.de/10014175928

Risk Apportionment and Stochastic Dominance

Eeckhoudt, Louis; Schlesinger, Harris; Tsetlin, Ilia - 2007

Persistent link: https://www.econbiz.de/10014223447

Closed-Form Solutions for Worst-Case Law Invariant Risk Measures with Application to Robust Portfolio Optimization

Li, Jonathan - 2016

Worst-case risk measures refer to the calculation of the largest value for risk measures when only partial information of the underlying distribution is available. For the popular risk measures such as Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR), it is now known that their...

Persistent link: https://www.econbiz.de/10012983281

Risk averse constrained blackbox optimization under mixed aleatory/epistemic uncertainties

Audet, Charles; Bigeon, Jean; Couderc, Romain; … - 2023

Persistent link: https://www.econbiz.de/10014417933

Models for minimax stochastic linear optimization problems with risk aversion

Bertsimas, Dimitris; Doan, Xuan Vinh; Natarajan, Karthik; … - In: Mathematics of operations research 35 (2010) 3, pp. 580-602

Persistent link: https://www.econbiz.de/10008660776

Risk-averse mitigation decisions in an unpredictable climate system

Lontzek, Thomas; Narita, Daiju - In: The Scandinavian journal of economics 113 (2011) 4, pp. 937-958

Persistent link: https://www.econbiz.de/10009407705