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Modeling and Optimization of Risk

In: HANDBOOK OF THE FUNDAMENTALS OF FINANCIAL DECISION MAKING Part II

Author

Listed:
  • Pavlo Krokhmal
  • Michael Zabarankin
  • Stan Uryasev

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.

Suggested Citation

  • Pavlo Krokhmal & Michael Zabarankin & Stan Uryasev, 2013. "Modeling and Optimization of Risk," World Scientific Book Chapters, in: Leonard C MacLean & William T Ziemba (ed.), HANDBOOK OF THE FUNDAMENTALS OF FINANCIAL DECISION MAKING Part II, chapter 31, pages 555-600, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789814417358_0031
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    Citations

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    Cited by:

    1. Andrey Leonidov & Ilya Tipunin & Ekaterina Serebryannikova, 2020. "On Evaluation of Risky Investment Projects. Investment Certainty Equivalence," Papers 2005.12173, arXiv.org.
    2. Roujia Li & Jia Liu, 2022. "Online Portfolio Selection with Long-Short Term Forecasting," SN Operations Research Forum, Springer, vol. 3(4), pages 1-15, December.
    3. Hosseini-Nodeh, Zohreh & Khanjani-Shiraz, Rashed & Pardalos, Panos M., 2023. "Portfolio optimization using robust mean absolute deviation model: Wasserstein metric approach," Finance Research Letters, Elsevier, vol. 54(C).

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