Risk averse preference models for normalised lotteries based on simulation
type: Item
instance of: scholarly article
title: Risk averse preference models for normalised lotteries based on simulation
zbMATH Open document ID: 1194.91068
DOI: 10.1504/IJOR.2010.033137
author: Khwazbeen Saida Fatah
author: Peng Shi
author: Jamal R. M. Ameen
author: R. J. Wiltshire
published in: International Journal of Operational Research
publication date: 2010-09-08T00:00:00Z
review text: Summary: We propose a new risk-preference model for ranking pairs of normalised lotteries, random variables, each represents a risk factor obtained by converting the outcomes of the lottery into its mean multiplied by a risk factor. With the existence of an expected utility model, the preference ordering over a pair of such lotteries is converted into a risk-preference ranking over their risk factors. The proposed model is an efficient approximation model based on cumulative distribution functions using simulation. It can be used for analysing preferences between pairs of uncertain alternatives representing financial investment for risk-averse investors. Furthermore, unlike the other models, it can be applied to a variety of randomly distributed variables with different utility functions.
Mathematics Subject Classification ID: 91B06
Mathematics Subject Classification ID: 91B16
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 91G99
zbMATH DE Number: 5781049
zbMATH Keywords: cumulative-function
zbMATH Keywords: expected-utility theory
zbMATH Keywords: mean-variance theory
zbMATH Keywords: normalised lotteries
zbMATH Keywords: ranking preferences
zbMATH Keywords: simulation
zbMATH Keywords: risk averse modelling
zbMATH Keywords: preference models
MaRDI profile type: Publication
full work available at URL: ijor.2010.033137
OpenAlex ID: W1994640975
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description: scientific article; zbMATH DE number 5781049