Modeling and Optimization of Risk

Pavlo Krokhmal, Michael Zabarankin and Stan Uryasev

Chapter 31 in Handbook of the Fundamentals of Financial Decision Making:In 2 Parts, 2013, pp 555-600 from World Scientific Publishing Co. Pte. Ltd.

Abstract: This paper surveys the most recent advances in the context of decision making under uncertainty, with an emphasis on the modeling of risk-averse preferences using the apparatus of axiomatically defined risk functionals, such as coherent measures of risk and deviation measures, and their connection to utility theory, stochastic dominance, and other more established methods.

Keywords: Financial Decision Making; Asset Pricing; Prospect Theory; Utility Theory; Risk Aversion; Static Portfolio Theory; Stochastic Dominance; Dynamic Modeling; Dynamic Portfolio Theory; Tactical Asset Allocation; Kelly Strategy; Capital Growth (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (3)

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