Modeling and optimization of risk

Pavlo Krokhmal, Michael Zabarankin, Stan Uryasev

Research output: Contribution to journalArticle

106 Scopus citations

Abstract

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.

Original languageEnglish (US)
Pages (from-to)49-66
Number of pages18
JournalSurveys in Operations Research and Management Science
Volume16
Issue number2
DOIs
StatePublished - Jul 1 2011
Externally publishedYes

ASJC Scopus subject areas

  • Information Systems
  • Economics and Econometrics
  • Computer Science Applications
  • Management Science and Operations Research

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