Decision tree analysis for a risk averse decision maker: CVaR Criterion

Saman Eskandarzadeh and Kourosh Eshghi

European Journal of Operational Research, 2013, vol. 231, issue 1, 131-140

Abstract: Risk aversion is a prevalent phenomenon when sufficiently large amounts are at risk. In this paper, we introduce a new prescriptive approach for coping with risk in sequential decision problems with discrete scenario space. We use Conditional Value-at-Risk (CVaR) risk measure as optimization criterion and prove that there is an explicit linear representation of the proposed model for the problem.

Keywords: Discrete scenario space; Sequential decision making; Conditional Value-at-Risk; Risk aversion (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:231:y:2013:i:1:p:131-140

DOI: 10.1016/j.ejor.2013.04.033

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