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

Author

Listed:
  • Zhukovskiy, Vladislav
  • Zhukovskaya, Lidia
  • Mukhina, Yulia
  • Samsonov, Sergey

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.

Suggested Citation

  • Zhukovskiy, Vladislav & Zhukovskaya, Lidia & Mukhina, Yulia & Samsonov, Sergey, 2023. "Guaranteed Solution For Risk-Neutral Decision Maker: An Analog Of Maximin In Single-Criterion Choice Problem," MPRA Paper 119396, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:119396
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    More about this item

    Keywords

    guaranteed solution; single-criterion choice; Savage–Niehans risk; minimax regret; uncertainties;
    All these keywords.

    JEL classification:

    • C0 - Mathematical and Quantitative Methods - - General
    • C00 - Mathematical and Quantitative Methods - - General - - - General
    • C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics

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