Decision Making Under Uncertainty When Preference Information Is Incomplete

• 成果类型: Article
• 署名作者: Armbruster, Benjamin; Delage, Erick
• 署名单位: Northwestern University; Universite de Montreal; HEC Montreal
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2014.2059
• 发表日期: 2015
• 页码: 111-128
• 关键词: expected utility; robust optimization; stochastic dominance; Certainty equivalent

摘要

We consider the problem of optimal decision making under uncertainty but assume that the decision maker's utility function is not completely known. Instead, we consider all the utilities that meet some criteria, such as preferring certain lotteries over other lotteries and being risk averse, S-shaped, or prudent. These criteria extend the ones used in the first- and second-order stochastic dominance framework. We then give tractable formulations for such decision-making problems. We formulate them as robust utility maximization problems, as optimization problems with stochastic dominance constraints, and as robust certainty equivalent maximization problems. We use a portfolio allocation problem to illustrate our results.