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Decision tree analysis for a risk averse decision maker: CVaR criterion [electronic resource]

Eskandarzadeh, S. (Saman) ; Sharif University of Technology

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  1. Type of Document: Article
  2. DOI: 10.1016/j.ejor.2013.04.033
  3. Abstract:
  4. Risk aversion is a prevalent phenomenon when sufficiently large amounts are at risk. In this paper, we introduce a new prescriptive approach for coping with risk in sequential decision problems with discrete scenario space. We use Conditional Value-at-Risk (CVaR) risk measure as optimization criterion and prove that there is an explicit linear representation of the proposed model for the problem
  5. Keywords:
  6. Discrete scenario space ; Sequential decision making ; Conditional value-at-risk ; Risk aversion
  7. Source: Presented at European Journal of Operational Research ; Volume 231, Issue 1, 16 November 2013, Pages 131–140
  8. URL: http://www.sciencedirect.com/science/article/pii/S0377221713003470