Highly Influential

5 Excerpts

- Published 2004

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.

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