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Risk aversion and optimal forest replanting: A stochastic efficiency study
European Journal of Operational Research, 2007zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Gudbrand Lien +3 more
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Stochastic Dominance and Absolute Risk Aversion
Social Choice and Welfare, 2006In this paper we propose the infimum of the Arrow-Pratt index of absolute risk aversion as a measure of global risk aversion of a utility function. We then show that, for any given arbitrary pair of distributions, there exists a threshold level of global risk aversion such that all increasing concave utility functions with at least as much global risk ...
Jordi Caballé
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The Risk-Averse Static Stochastic Knapsack Problem
INFORMS Journal on Computing, 2021This research proposes and analyzes new models for a stochastic resource allocation problem that arises in a variety of operations contexts. One of the primary contributions of the paper lies in providing a succinct, robust, and general model that can address a range of different risk-based objectives and cost assumptions under uncertainty.
Yasemin Merzifonluoglu, Joseph Geunes
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Concavity, stochastic utility, and risk aversion
Finance and Stochastics, 2020zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Jarrow, Robert, Li, Siguang
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Risk-Averse Bargaining in a Stochastic Optimization Context
Manufacturing & Service Operations Management, 2023Problem definition: Bargaining situations are ubiquitous in economics and management. We consider the problem of bargaining for a fair ex ante distribution of random profits arising from a cooperative effort of a fixed set of risk-averse agents. Our approach integrates optimal managerial decision making into bargaining situations with random outcomes ...
Walter J. Gutjahr +2 more
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Almost stochastic dominance: Magnitude constraints on risk aversion
Insurance: Mathematics and Economics, 2023zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Liu, Liqun, Meyer, Jack
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Risk-averse stochastic path detection
European Journal of Operational Research, 2017zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Ricardo Collado +2 more
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Structure of risk-averse multistage stochastic programs
OR Spectrum, 2014zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Jitka Dupacová, Václav Kozmík
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Risk-Averse Stochastic Modeling and Optimization [PDF]
, 2018 The ability to compare random outcomes based on the decision makers' risk preferences is crucial to modeling decision-making problems under uncertainty. In this tutorial, the primary focus is on the stochastic preference relations based on the widely applied risk measure, conditional value-at-risk (CVaR), and the second-order stochastic dominance (SSD).
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Multilevel Optimization Modeling for Risk-Averse Stochastic Programming
INFORMS Journal on Computing, 2016Coherent risk measures have become a popular tool for incorporating risk aversion into stochastic optimization models. For dynamic models in which uncertainty is resolved at more than one stage, however, using coherent risk measures within a standard single-level optimization framework becomes problematic. To avoid severe time-consistency difficulties,
Jonathan Eckstein +2 more
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