Multiple criteria optimization and decisions under risk

Control and Cybernetics

Volumn 31, Issue 4, 2002, Pages 975-1003

  Ogryczak, Włodzimierz ^a  

^a WARSAW UNIVERSITY OF TECHNOLOGY   (Poland)

Author keywords

Decisions under risk; Decisions under uncertainty; Multiple criteria optimization; Risk aversion

Indexed keywords

DECISION THEORY; FEEDBACK; OPTIMIZATION; RISKS;

RISK AVERSION;

CYBERNETICS;

EID: 0038517974     PISSN: 03248569     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Conference Paper

References (32)

1. BELL, D.E., RAIFFA, H. and TVERSKY A. (1988) Decision Making: Descriptive, Normative and Prescriptive Interactions. Cambridge Univ. Press, Cambridge.
2. CHARNES, A. and COOPER, W.W. (1961) Management Models and Industrial Applications of Linear Programming. Wiley, New York.
3. FISHBURN, P.C. (1964) Decision and Value Theory. Wiley, New York.
4. HAIMES, Y.Y. (1993) Risk of Extreme Events and the Fallacy of the Expected Value. Control and Cybernetics, 22, 7-31.
5. KALISZEWSKI, I. (1994) Quantitative Pareto Analysis by Cone Separation Technique. Kluwer, Dordrecht.
6. KEENEY, R.L. and RAIFFA, H. (1976) Decisions with Multiple Objectives: Preferences and Value Tradeoffs. Wiley, New York.
7. KOSTREVA, M.M. and OGRYCZAK, W. (1999) Linear Optimization with Multiple Equitable Criteria. RAIRO Rech. Opér., 33, 275-297.
8. LEVY, H. (1992) Stochastic Dominance and Expected Utility: Survey and Analysis. Management Science, 38, 555-593.
9. LEWANDOWSKI, A. and WIERZBICKI, A.P. (1989) Aspiration Based Decision Support Systems - Theory, Software and Applications. Springer, Berlin.
10. MARKOWITZ, H. (1952) Portfolio Selection. J. Finance, 7, 77-91.
11. MARSHALL, A.W. and OLKIN, I. (1979) Inequalities: Theory of Majorization and Its Applications. Academic Press, New York.
12. NAKAYAMA, H., SAWARAGI, Y. and TANINO, T. (1985) Theory of Multiobjective Optimization. Academic Press, London.
13. OGRYCZAK, W. (1997) Linear and Discrete Optimization with Multiple Criteria: Preference Models and Applications to Decision Support (in Polish). Warsaw Univ. Press, Warsaw.
14. OGRYCZAK, W. (2000) Multiple Criteria Linear Programming Model for Portfolio Selection. Annals of Operations Research, 97, 143-162.
15. OGRYCZAK, W. (2001) On Goal Programming Formulations of the Reference Point Method. Journal of the Operational Research Society, 52, 691-698.
16. OGRYCZAK, W. and RUSZCZYŃSKI, A. (1999) From Stochastic Dominance to Mean-Risk Models: Semideviations as Risk Measures. European Journal of Operational Research, 116, 33-50.
17. OGRYCZAK, W. and RUSZCZYŃSKI, A. (2001) On Consistency of Stochastic Dominance and Mean-Semideviation Models. Mathematical Programming, 89, 217-232.
18. OGRYCZAK, W. and RUSZCZYŃSKI, A. (2002) Dual Stochastic Dominance and Related Mean-Risk Models. SIAM J. on Optimization, 13, 60-78.
19. PODINOVSKII, V.V. (1975) Multi-Criterion Problems with Uniform Equivalent Criteria. USSR Comp. Math. and Math. Physics, 15, 47-60.
20. ROCKAFELLAR, R.T. (1970) Convex Analysis. Princeton Univ. Press.
21. SAVAGE, L.J. (1954) The Foundations of Statistics. Wiley, New York.
22. SHORROCKS, A.F. (1983) Ranking Income Distributions. Econom., 50, 3-17.
23. STADLER, W. (1979) A Survey of Multicriteria Optimization or Vector Optimization, Part I (1776-1960). J. Optim. Theory and Appls., 29, 1-52.
24. STEUER, R.E. (1986) Multiple Criteria Optimization: Theory, Computation & Applications. Wiley, New York.
25. STEUER, R.E., GARDINER, L. and GRAY J. (1996) A Bibliographic Survey of the Activities and International Nature Multiple Criteria Decision Making. J. Multi-Criteria Decision Analysis, 5, 195-217.
26. VINCKE, PH. (1992) Multicriteria Decision-Aid. Wiley, New York.
27. WHITMORE, G.A. and FINDLAY, M.C. (1978) Stochastic Dominance: An Approach to Decision-Making Under Risk. D.C.Heath, Lexington, MA.
28. WIERZBICKI, A.P. (1982) A Mathematical Basis for Satisficing Decision Making. Mathematical Modelling, 3, 391-405.
29. WIERZBICKI, A.P., MAKOWSKI, M. and WESSELS, J. (2000) Model Based Decision Support Methodology with Environmental Applications. Kluwer, Dodrecht.
30. YAGER, R.R. (1988) On ordered weighted averaging aggregation operators in multicriteria decision making. IEEE Trans. SMC, 18, 183-190.
31. ZENIOS, S.A. (1995) Asset/Liability Management under Uncertainty for Fixed-Income Securities. Annals of Operations Research, 59, 77-97.
32. rd edition. Kluwer, Dordrecht.