IDEAS home Printed from https://ideas.repec.org/a/kap/theord/v72y2012i2p257-271.html
   My bibliography  Save this article

Parametric multi-attribute utility functions for optimal profit under risk constraints

Author

Listed:
  • Babacar Seck

    ()

  • Laetitia Andrieu

    ()

  • Michel De Lara

    ()

Abstract

No abstract is available for this item.

Suggested Citation

  • Babacar Seck & Laetitia Andrieu & Michel De Lara, 2012. "Parametric multi-attribute utility functions for optimal profit under risk constraints," Theory and Decision, Springer, vol. 72(2), pages 257-271, February.
  • Handle: RePEc:kap:theord:v:72:y:2012:i:2:p:257-271
    DOI: 10.1007/s11238-011-9255-6
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1007/s11238-011-9255-6
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Tversky, Amos & Kahneman, Daniel, 1992. "Advances in Prospect Theory: Cumulative Representation of Uncertainty," Journal of Risk and Uncertainty, Springer, vol. 5(4), pages 297-323, October.
    2. Dentcheva, Darinka & Ruszczynski, Andrzej, 2006. "Portfolio optimization with stochastic dominance constraints," Journal of Banking & Finance, Elsevier, vol. 30(2), pages 433-451, February.
    3. Ogryczak, Wlodzimierz & Ruszczynski, Andrzej, 1999. "From stochastic dominance to mean-risk models: Semideviations as risk measures," European Journal of Operational Research, Elsevier, vol. 116(1), pages 33-50, July.
    4. Gilboa, Itzhak & Schmeidler, David, 1989. "Maxmin expected utility with non-unique prior," Journal of Mathematical Economics, Elsevier, vol. 18(2), pages 141-153, April.
    5. Fabio Maccheroni, 2002. "Maxmin under risk," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 19(4), pages 823-831.
    6. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
    7. Wakker,Peter P., 2010. "Prospect Theory," Cambridge Books, Cambridge University Press, number 9780521765015, March.
    8. Kahneman, Daniel & Tversky, Amos, 1979. "Prospect Theory: An Analysis of Decision under Risk," Econometrica, Econometric Society, vol. 47(2), pages 263-291, March.
    9. Aharon Ben-Tal & Marc Teboulle, 1986. "Expected Utility, Penalty Functions, and Duality in Stochastic Nonlinear Programming," Management Science, INFORMS, vol. 32(11), pages 1445-1466, November.
    10. Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    Risk measures; Utility functions; Non-expected utility theory; Maxmin; Conditional value-at-risk; Loss aversion; D81;

    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:kap:theord:v:72:y:2012:i:2:p:257-271. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sonal Shukla) or (Rebekah McClure). General contact details of provider: http://www.springer.com .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.