Choquet Expected Utility

Abstract

Recent developments in the theory of choice under uncertainty and risk yield a pessimistic decision theory that replaces the classical expected utility criterion with a Choquet expectation that accentuates the likelihood of the least favorable outcomes. A parallel theory has recently emerged in the literature on risk assessment. It is shown that a general form of pessimistic portfolio optimization based on the Choquet approach may be formulated as a problem of linear quantile regression.

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Cite this paper

@inproceedings{Bassett2004ChoquetEU, title={Choquet Expected Utility}, author={Gilbert Bassett and Roger Koenker and G. I. Kordas}, year={2004} }