Modeling and optimization of risk

Pavlo Krokhmal; Michael Zabarankin; Stan Uryasev

doi:10.1016/j.sorms.2010.08.001

Modeling and optimization of risk

Pavlo Krokhmal, Michael Zabarankin, Stan Uryasev

Research output: Contribution to journal › Article › peer-review

136 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 language	English (US)
Pages (from-to)	49-66
Number of pages	18
Journal	Surveys in Operations Research and Management Science
Volume	16
Issue number	2
DOIs	https://doi.org/10.1016/j.sorms.2010.08.001
State	Published - Jul 1 2011
Externally published	Yes

ASJC Scopus subject areas

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

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10.1016/j.sorms.2010.08.001

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Modeling and optimization of risk

Abstract

ASJC Scopus subject areas

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