TY - JOUR
T1 - Modeling and optimization of risk
AU - Krokhmal, Pavlo
AU - Zabarankin, Michael
AU - Uryasev, Stan
PY - 2011/7/1
Y1 - 2011/7/1
N2 - 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.
AB - 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.
UR - http://www.scopus.com/inward/record.url?scp=79955592002&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=79955592002&partnerID=8YFLogxK
U2 - 10.1016/j.sorms.2010.08.001
DO - 10.1016/j.sorms.2010.08.001
M3 - Article
AN - SCOPUS:79955592002
SN - 1876-7354
VL - 16
SP - 49
EP - 66
JO - Surveys in Operations Research and Management Science
JF - Surveys in Operations Research and Management Science
IS - 2
ER -