Modeling Coherent Preference Relations in Decision-Making under Risk

A.A. Novosyolov (Russia)


Decision, control, risk, representation, coherent


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 co herent risk measures, which gives rise to algorithms of calculation of their values.

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