A method for optimising risk sensitive decisions
Abstract
Decisions under uncertainty are conventionally unaffected by the degree of uncertainty because the stochastic elements of the objective function are separated out and discarded before optimisation. This paper examines a method of incorporating risk aversion by optimising the second moment, in addition to the first, of the original stochastic objective.
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Published
1984-09-01
How to Cite
Brandsma, A., & Hughes Hallett, A. (1984). A method for optimising risk sensitive decisions. JORBEL - Belgian Journal of Operations Research, Statistics, and Computer Science, 24(3), 30–43. Retrieved from https://www.orbel.be/jorbel/index.php/jorbel/article/view/447
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