Decision Making Under Uncertainty When Preference Information Is Incomplete

References

• Arrow KJ (1959) Rational choice functions and orderings. Economica 26(102):121–127.Crossref, Google Scholar
• Aumann RJ (1962) Utility theory without the completeness axiom. Econometrica 30(3):445–462.Crossref, Google Scholar
• Becker GM, DeGroot MH, Marschak J (1964) Measuring utility by a single-response sequential method. Behavioral Sci. 9(3):226–232.Crossref, Google Scholar
• Ben-Tal A, Nemirovski A (1998) Robust convex optimization. Math. Oper. Res. 23(4):769–805.Link, Google Scholar
• Ben-Tal A, Teboulle M (2007) An old-new concept of convex risk measures: The optimized certainty equivalent. Math. Finance 17(3):449–476.Crossref, Google Scholar
• Bertsimas D, O’Hair A (2013) Learning preferences under noise and loss aversion: An optimization approach. Oper. Res. 61(5):1190–1199.Google Scholar
• Boutilier C, Patrascu R, Poupart P, Schuurmans D (2006) Constraint-based optimization and utility elicitation using the minimax decision criterion. Artificial Intelligence 170(8–9):686–713.Crossref, Google Scholar
• Chajewska U, Koller D, Parr R (2000) Making rational decisions using adaptive utility elicitation. Proc. 17th Natl. Conf. Artificial Intelligence (American Association for Artificial Intelligence, Palo Alto, CA), 363–369.Google Scholar
• Clemen RT, Reilly T (2001) Making Hard Decisions with DecisionTools Suite, 2nd ed. (Duxbury, Pacific Grove, CA).Google Scholar
• Conn AR, Scheinberg K, Vicente LN (2009) Introduction to Derivative-Free Optimization (Society for Industrial and Applied Mathematics, Philadelphia).Crossref, Google Scholar
• Delage E, Ye Y (2010) Distributionally robust optimization under moment uncertainty with application to data-driven problems. Oper. Res. 58(3):595–612.Link, Google Scholar
• Dentcheva D, Ruszczyński A (2003) Optimization with stochastic dominance constraints. SIAM J. Optim. 14(2):548–566.Crossref, Google Scholar
• Dentcheva D, Ruszczyński A (2006) Portfolio optimization with stochastic dominance constraints. J. Banking Finance 30(2):433–451.Crossref, Google Scholar
• Dubra J, Maccheroni F, Ok E (2004) Expected utility theory without the completeness axiom. J. Econom. Theory 115(1):118–133.Crossref, Google Scholar
• Eeckhoudt L, Schlesinger H (2006) Putting risk in its proper place. Amer. Econom. Rev. 96(1):280–289.Crossref, Google Scholar
• Grable J, Lytton RH (1999) Financial risk tolerance revisited: The development of a risk assessment instrument. Financial Services Rev. 8(3):163–181.Crossref, Google Scholar
• Kahneman D, Tversky A (1979) Prospect theory: An analysis of decision under risk. Econometrica 47(2):263–291.Crossref, Google Scholar
• Leland HE (1968) Saving and uncertainty: The precautionary demand for saving. Quart. J. Econom. 82(3):465–473.Crossref, Google Scholar
• Leshno M, Levy H (2002) Preferred by “all” and preferred by “most” decision makers: Almost stochastic dominance. Management Sci. 48(8):1074–1085.Link, Google Scholar
• Lizyayev A, Ruszczyński A (2012) Tractable almost stochastic dominance. Eur. J. Oper. Res. 218(2):448–455.Crossref, Google Scholar
• Meyer J (1977) Choice among distributions. J. Econom. Theory 14(2):326–336.Crossref, Google Scholar
• Ogryczak W, Ruszczyński A (2001) On stochastic dominance and mean-semideviation models. Math. Programming 89(2):217–232.Crossref, Google Scholar
• Rawls J (1971) A Theory of Justice (Harvard University Press, Cambridge, MA).Crossref, Google Scholar
• Tversky A, Kahneman D (1974) Judgment under uncertainty: Heuristics and biases. Science 185(4157):1124–1131.Crossref, Google Scholar
• Von Neumann J, Morgenstern O (1944) Theory of Games and Economic Behavior (Princeton University Press, Princeton, NJ).Google Scholar