most citedQuantitative Statistical Robustness for Tail-Dependent Law Invariant Risk Measures

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math.OC2023★ 1 cited

Multi-Attribute Utility Preference Robust Optimization: A Continuous Piecewise Linear Approximation Approach

Qiong Wu, Sainan Zhang, Wei Wang +1

In this paper, we consider a multi-attribute decision making problem where the decision maker's (DM's) objective is to maximize the expected utility of outcomes but the true utilit…