Utility preference robust optimization (PRO) has recently been proposed to deal with optimal
decision-making problems where the decision maker's (DM's) preference over gains and …

Utility preference robust optimization (PRO) concerns decision making problems where
information on decision maker's utility preference is incomplete and has to be elicited …

A spectral risk measure (SRM) is a weighted average of value at risk where the weighting
function (also known as risk spectrum or distortion function) characterizes a decision maker's …

Utility preference robust optimization (PRO) models have recently been proposed to deal
with decision-making problems where the decision-maker's true utility function is unknown …

In this paper, we consider a bi-attribute decision making problem where the decision
maker's (DM's) objective is to maximize the expected utility of outcomes with two attributes …

In this paper, we consider a multistage expected utility maximization problem where the
decision maker's utility function at each stage depends on historical data and the information …

Utility preference robust optimization (PRO) has recently been proposed to deal with optimal
decision making problems where the decision maker's (DM) preference over gains and …

We introduce a new stochastic dominance relationship, the interval-based stochastic
dominance (ISD). By choosing different reference points, we show that ISD may span a …

Ben-Tal and Teboulle [Management Sci., 32 (1986), pp. 1445--1466] introduce the concept
of optimized certainty equivalent (OCE) of an uncertain outcome as the maximum present …

We introduce a robo-advisor system that recommends customized investment portfolios to
users using an expected utility model elicited from pairwise comparison questionnaires. The …