On bespoke decision-aid under risk: the engineering behind preference elicitation

Decision-aid as developed from the late Fifties to the mid-Seventies has introduced a substantial change in the previous practice of OR. The spirit of this new deal of a bespoke decision-aid has indeed been that the decision maker's own preferences, including risk tolerance and attribute selection, as opposed to the standardized goals or discretionarily assigned objectives of the analyst, should be paramount in selecting the most satisfactory strategy. But this way of implementing decision-aid has not received in practice as wide an application as it should have, due to some unduly persistent although erroneous objections. Eliciting the preferences of someone else has thus been regarded as some logically impossible task. The present article argues that such suspicions are today obsolete and that most of the evoked biases or objections can be overcome by using methods of elicitation ignored by textbooks. In particular, the article presents a complete set of non-parametric methods that avoid the above biases and objections. It suggests that a number of fields of application, in wealth management and finance as well as in human resources management and managerial choices, urgently call for such genuinely bespoke decision-aid.