Risk Attitude in Multicriteria Decision Analysis: A Compromise Approach
In fields on which decisions need to be taken including health, as we are seeing nowadays in the COVID-19 crisis, decision-makers face multiple criteria and results with a random component. In stochastic multicriteria decision-making models, the risk attitude of the decision maker is a relevant fact...
| Autores: | , |
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| Tipo de recurso: | artículo |
| Fecha de publicación: | 2021 |
| País: | España |
| Institución: | Universidad Complutense de Madrid (UCM) |
| Repositorio: | Docta Complutense |
| Idioma: | inglés |
| OAI Identifier: | oai:docta.ucm.es:20.500.14352/6902 |
| Acceso en línea: | https://hdl.handle.net/20.500.14352/6902 |
| Access Level: | acceso abierto |
| Palabra clave: | stochastic multicriteria decision stochastic efficiency risk attitudes Extended Goal Programming Econometría (Economía) 5302 Econometría |
| Sumario: | In fields on which decisions need to be taken including health, as we are seeing nowadays in the COVID-19 crisis, decision-makers face multiple criteria and results with a random component. In stochastic multicriteria decision-making models, the risk attitude of the decision maker is a relevant factor. Traditionally, the shape of a utility function is the only element that represents the decision maker’s risk attitude. The eduction process of multi-attribute utility functions implies some operational drawbacks, and it is not always easy. In this paper, we propose a new element with which the decision maker’s risk attitude can be implemented: the selection of the stochastic efficiency concept to be used during a decision analysis. We suggest representing the risk attitude as a conflict between two poles: risk neutral attitude, associated with best expectations, and risk aversion attitude, associated with a lower uncertainty. The Extended Goal Programming formulation has inspired the parameter that is introduced in a new risk attitude formulation. This parameter reflects the trade-off between the two classical poles with respect to risk attitude. Thus, we have produced a new stochastic efficiency concept that we call Compromise Efficiency. |
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