On Exponential Utility and Conditional Value-at-Risk as Risk-Averse Performance Criteria.
Kevin M. SmithMargaret P. ChapmanPublished in: IEEE Trans. Control. Syst. Technol. (2023)
Keyphrases
- risk averse
- utility function
- risk aversion
- risk neutral
- expected utility
- decision makers
- stochastic programming
- decision theory
- decision problems
- risk sensitive
- portfolio management
- probability distribution
- decision theoretic
- influence diagrams
- pareto optimal
- artificial intelligence
- steady state
- dynamic programming
- lower bound
- objective function
- decision making