Stochastic dominance and risk measure: A decision-theoretic foundation for VaR and C-VaR.
Chenghu MaWing-Keung WongPublished in: Eur. J. Oper. Res. (2010)
Keyphrases
- decision theoretic
- stochastic dominance
- risk measures
- expected utility
- decision theory
- random variables
- plan recognition
- planning under uncertainty
- decision models
- var model
- robust optimization
- markov decision problems
- goal state
- dynamical systems
- multi agent
- decision making
- partially observable markov decision process
- probability distribution