SSD Consistent Criteria and Coherent Risk Measures

  • W. Ogryczak
  • M. Opolska-Rutkowska
Part of the IFIP International Federation for Information Processing book series (IFIPAICT, volume 199)

Abstract

The mean-risk approach quantifies the problem of choice among uncertain prospects in a lucid form of only two criteria: the mean, representing the expected outcome, and the risk: a scalar measure of the variability of outcomes. The model is appealing to decision makers but it may lead to inferior conclusions. Several risk measures, however, can be combined with the mean itself into the robust optimization criteria thus generating SSD consistent performances (safety) measures. In this paper we introduce general conditions for risk measures sufficient to provide the SSD consistency of the corresponding safety measures.

keywords

decisions under risk stochastic dominance mean-risk 

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Copyright information

© International Federation for Information Processing 2006

Authors and Affiliations

  • W. Ogryczak
    • 1
  • M. Opolska-Rutkowska
    • 2
  1. 1.Institute of Control & Computation EngineeringWarsaw University of TechnologyWarsawPoland
  2. 2.Institute of MathematicsWarsaw University of TechnologyWarsawPoland

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