1 citations · 1 across the 2 of their papers we have counts for
2 papers
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…
math.OC2021
Preference Robust Generalized Shortfall Risk Measure Based on the Cumulative Prospect Theory When the Value Function and Weighting Functions Are Ambiguous
Sainan Zhang, Huifu Xu
The utility-based shortfall risk (SR) measure introduced by Folmer and Schied [15] has been recently extended by Mao and Cai [29] to cumulative prospect theory (CPT) based SR in or…