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On Exponential Utility and Conditional Value-at-Risk as Risk-Averse Performance Criteria.
Kevin M. Smith
Margaret P. Chapman
Published in:
CoRR (2021)
Keyphrases
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risk averse
utility function
risk aversion
risk neutral
expected utility
decision makers
stochastic programming
decision problems
probability distribution
portfolio management
risk sensitive
decision theoretic
decision theory
decision making
production system
multi objective
bayesian networks