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Portfolio optimization with optimal expected utility risk measures
The purpose of this article is to evaluate optimal expected utility risk measures (OEU) in a risk-constrained portfolio optimization context where...
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Commuters’ Expected Utility Obtained in Decision Making on Residential Location Selection
This paper describes a method for estimating residential location selection utility (RLSU), which is the anticipated utility benefitting the...
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Expected Utility Theory and Psychology
Expected utility theoryExpected utility theory is a major theory of decision making under riskDecision making under risk. Decision making under...
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Axioms and Counterexamples Expected Utility Theory
Chapter 6 explained the relevance between the initial idea of expected utility theoryExpected utility...
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Preference Paradox and Nonlinear Expected Utility Theory
Chapter 7 explained that expected utility theoryExpected utility theory included counterexamples called...
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Predicting Behavior in Games: Loss Aversion vs. Rank Dependent Utility vs. Range Utility Theory
Rank dependent probability weighting—an integral part of cumulative prospect theory—has come to dominate the behavioral modeling of risk preferences...
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Modeling the Maximum Perceived Utility Consensus Based on Prospect Theory
Expected utility consensus models aim to obtain a consensus solution with the maximum utility of the group. However, decision-makers (DMs) are often...
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Multi-period power utility optimization under stock return predictability
In this paper, we derive an analytical solution to the dynamic optimal portfolio choice problem in the case of an investor equipped with a power...
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Maximum Utility Consensus with Inequity Aversion in Social Network Group Decision Making
Consensus is an essential topic in social network group decision making (SNGDM). In the consensus process, maximizing the group utility is conducive...
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Monetary Utility Functions and Risk Functionals
This paper’s content is devoted to the study of the monetary utility functions and their use in optimal portfolio choice and optimal risk allocation....
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Cube Root Utility Theory
The von Neumann-Morgenstern (vNM) utility function suggested here has loss aversion and consistently increasing utility of wealth between −∞ and ∞....
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Cube Root Utility Theory
The von Neumann-Morgenstern (vNM) utility function suggested here has loss aversion and consistently increasing utility of wealth between −∞ and ∞....
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Conditional non-expected utility preferences induced by mixture of lotteries: a note on the normative invalidity of expected utility theory
This research note is concerned with static choices between alternative mixtures of lotteries with one common mixture component and identical mixture...
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Qualitative robustness of utility-based risk measures
We contribute to the literature on statistical robustness of risk measures by computing the index of qualitative robustness for risk measures based...
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Utility: Theories and Models
The aim of this study is to look at utility theory from a broad perspective. The main hypothesis in the theory of decision is that the person who is...
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Material Supply Network Optimization in the Energy and Utility Industry
The energy and utility industry has a significant need for efficient and resilient material supply networks in today’s competitive markets and...
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Consequences of Missing Objectives in Applications of Multiattribute Utility Analysis
Multiattribute decision analysis allows decision makers to identify their objectives as a critical part of constructing a prescriptive model for...
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Utility and Risk Evaluation of Synthetic Data by Orthogonal Transformation
Releasing synthetic data in statistical disclosure control makes identifying individual records difficult, as synthetic data differ from the original...
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Copula-based direct utility models for correlated choice alternatives
We propose a general framework of copula-based direct utility models and suggest two approaches (Gaussian and FGM approaches) that can accommodate...
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Utility-Based Robotic Process Automation Candidate Projects Ranking
Robotic Process Automation is a modern field of Information Technology that enables the automation of mechanically repeated tasks by humans when they...