A decision model based on expected utility, entropy and variance

被引：3
作者：
Brito, Irene [1 ]
机构：
[1] Univ Minho, Ctr Matemat, Dept Matemat, P-4800058 Guimaraes, Portugal
来源：
APPLIED MATHEMATICS AND COMPUTATION | 2020年 / 379卷 / 379期
关键词：
Decision analysis; Expected utility; Entropy; Variance; Decision model; Risk; RISK; UNCERTAINTY;
D O I：
10.1016/j.amc.2020.125285
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
A decision model - the expected utility, entropy and variance (EU-EV) model - is proposed, where the decision criterion depends on the uncertainty risk factors entropy and variance and on the subjective expected utility. The EU-EV model is applied to decision problems existing in the literature, and it is shown that they can be well explained with this model. (C) 2020 Elsevier Inc. All rights reserved.
引用
收藏
页数：9
相关论文
共 30 条
  • [11] PROSPECT THEORY - ANALYSIS OF DECISION UNDER RISK
    KAHNEMAN, D
    TVERSKY, A
    [J]. ECONOMETRICA, 1979, 47 (02) : 263 - 291
  • [12] EMPIRICAL-INVESTIGATION OF SOME PROPERTIES OF THE PERCEIVED RISKINESS OF GAMBLES
    KELLER, LR
    SARIN, RK
    WEBER, M
    [J]. ORGANIZATIONAL BEHAVIOR AND HUMAN DECISION PROCESSES, 1986, 38 (01) : 114 - 130
  • [13] STOCHASTIC-DOMINANCE AND EXPECTED UTILITY - SURVEY AND ANALYSIS
    LEVY, H
    [J]. MANAGEMENT SCIENCE, 1992, 38 (04) : 555 - 593
  • [14] Utility of gambling II:: risk, paradoxes, and data
    Luce, R. Duncan
    Ng, C. T.
    Marley, A. A. J.
    Aczel, Janos
    [J]. ECONOMIC THEORY, 2008, 36 (02) : 165 - 187
  • [15] Utility of gambling I:: entropy modified linear weighted utility
    Luce, R. Duncan
    Ng, C. T.
    Marley, A. A. J.
    Aczel, Janos
    [J]. ECONOMIC THEORY, 2008, 36 (01) : 1 - 33
  • [16] PORTFOLIO SELECTION
    Markowitz, Harry
    [J]. JOURNAL OF FINANCE, 1952, 7 (01) : 77 - 91
  • [17] STATE-VALUE WEIGHTED ENTROPY AS A MEASURE OF INVESTMENT RISK
    NAWROCKI, DN
    HARDING, WH
    [J]. APPLIED ECONOMICS, 1986, 18 (04) : 411 - 419
  • [18] THE PROPER USE OF RISK MEASURES IN PORTFOLIO THEORY
    Ortobelli, Sergio
    Rachev, Svetlozar T.
    Stoyanov, Stoyan
    Fabozzi, Frank J.
    Biglova, Almira
    [J]. INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE, 2005, 8 (08) : 1107 - 1133
  • [19] A Bayesian decision model based on expected utility and uncertainty risk
    Park, Changsoon
    Ahn, Suneung
    Lee, Sangwon
    [J]. APPLIED MATHEMATICS AND COMPUTATION, 2014, 242 : 643 - 648
  • [20] ENTROPY, MARKET RISK, AND SELECTION OF EFFICIENT PORTFOLIOS
    PHILIPPATOS, GC
    WILSON, CJ
    [J]. APPLIED ECONOMICS, 1972, 4 (03) : 209 - 220
123