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Modeling coherent preference relations in decision-making under risk

Описание

Тип публикации: доклад, тезисы доклада, статья из сборника материалов конференций

Год издания: 2010

Ключевые слова: Coherent, Control, Decision, Representation, Risk, Coherent risk measures, Financial risk management, Preference relation, Representation theorem, Decision making, Information technology, Risk management, Risks, Automation

Аннотация: Coherent risk measures proved to be a useful tools in financial risk management and decision-making under risk. Their limitations are relaxed by using generalized coherent risk measures. The present paper is devoted to establishing a representation theorem for generalized coherent risk measures, which gives rise to algorithms of caПоказать полностьюlculation of their values.

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Издание

Журнал: Proceedings of the IASTED International Conference on Automation, Control, and Information Technology - Control, Diagnostics, and Automation, ACIT-CDA 2010

Номера страниц: 313-315

Персоны

  • Novosyolov A.A. (Department of Higher and Applied Mathematics, Krasnoyarsk Trade and Economics Institute, Siberian Federal University, Krasnoyarsk, Russian Federation)

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