Risk averse preference models for normalised lotteries based on simulation

Khwazbeen Saida Fatah, Peng Shi, Jamal Ameen, Ron Wiltshire

Allbwn ymchwil: Cyfraniad at gyfnodolynErthygladolygiad gan gymheiriaid

2 Wedi eu Llwytho i Lawr (Pure)

Crynodeb

In this paper, we propose a new risk-preference model for ranking pairs of normalised lotteries, random variables, each represents a risk factor obtained by converting the outcomes of the lottery into its mean multiplied by a risk factor. With the existence of an expected utility model, the preference ordering over a pair of such lotteries is converted into a risk-preference ranking over their risk factors. The proposed model is an efficient approximation model based on cumulative distribution functions using simulation. It can be used for analysing preferences between pairs of uncertain alternatives representing financial investment for risk-averse investors. Furthermore, unlike other models, it can be applied to a variety of randomly distributed variables with different utility functions.
Iaith wreiddiolSaesneg
Tudalennau (o-i)189 - 207
Nifer y tudalennau18
CyfnodolynInternational Journal of Operational Research
Cyfrol8
Rhif cyhoeddi2
Dynodwyr Gwrthrych Digidol (DOIs)
StatwsCyhoeddwyd - 9 Mai 2010

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