Guaranteed Solution For Risk-Neutral Decision Maker: An Analog Of Maximin In Single-Criterion Choice Problem

Vladislav Zhukovskiy, Lidia Zhukovskaya, Yulia Mukhina and Sergey Samsonov

MPRA Paper from University Library of Munich, Germany

Abstract: In this article single-criterion choice problems under uncertainty (SCPUs) are considered. The principle of minimax regret and the Savage–Niehans risk function are introduced. A possible approach to solving an SCPU for a decision-maker who simultaneously seeks to increase his outcome and reduce his risk ("to kill two birds with one stone") is proposed. The explicit form of such a solution for the linear-quadratic setup of the SCPU is obtained.

Keywords: guaranteed solution; single-criterion choice; Savage–Niehans risk; minimax regret; uncertainties (search for similar items in EconPapers)
JEL-codes: C0 C00 C02 (search for similar items in EconPapers)
Date: 2023-10-10
New Economics Papers: this item is included in nep-dcm and nep-mic
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