Guaranteed Solution For Risk-Neutral Decision Maker: An Analog Of Maximin In Single-Criterion Choice Problem

Zhukovskiy, Vladislav and Zhukovskaya, Lidia and Mukhina, Yulia and Samsonov, Sergey (2023): Guaranteed Solution For Risk-Neutral Decision Maker: An Analog Of Maximin In Single-Criterion Choice Problem. Published in:

Abstract

In this article single-criterion choice problems under uncertainty (SCPUs) are considered. The principle of minimax regret and the Savage–Niehans risk function are introduced. A possible approach to solving an SCPU for a decision-maker who simultaneously seeks to increase his outcome and reduce his risk ("to kill two birds with one stone") is proposed. The explicit form of such a solution for the linear-quadratic setup of the SCPU is obtained.

• Item Type: MPRA Paper
• Language: English
• Keywords: guaranteed solution, single-criterion choice, Savage–Niehans risk, minimax regret, uncertainties
• Subjects: C - Mathematical and Quantitative Methods > C0 - General; C - Mathematical and Quantitative Methods > C0 - General > C00 - General; C - Mathematical and Quantitative Methods > C0 - General > C02 - Mathematical Methods

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