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https://hdl.handle.net/2440/87503
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Type: | Journal article |
Title: | A preference ranking model based on both mean-variance analysis and cumulative distribution function using simulation |
Author: | Fatah, K. Shi, P. Ameen, J. Wiltshire, R. |
Citation: | International Journal of Operational Research, 2009; 5(3):311-327 |
Publisher: | Inderscience |
Issue Date: | 2009 |
ISSN: | 1745-7645 1745-7653 |
Statement of Responsibility: | Khwazbeen S. Fatah, Peng Shi, Jamal R.M. Ameen, Ronald J. Wiltshire |
Abstract: | In decision-making problems under uncertainty, mean-variance analysis consistent with expected utility theory plays an important role in analysing preferences for different alternatives. In this paper, a new approach for mean-variance analysis based on cumulative distribution functions is proposed. Using simulation, a new algorithm is developed, which generates pairs of random variables to be representative for each pair of uncertain alternatives. The proposed model is concerned with financial investment for risk-averse investors with non-negative lotteries. Furthermore, the proposed technique in this paper can be applies to different distribution functions for lotteries or utility functions. |
Keywords: | mean variance theory; expected utility theory; cumulative distribution function; simulation; preference ranking; modelling; decision making; uncertainty; financial investment; risk-averse investors; non-negative lotteries; risk aversion. |
Rights: | Copyright status unknown |
DOI: | 10.1504/IJOR.2009.025199 |
Published version: | http://dx.doi.org/10.1504/ijor.2009.025199 |
Appears in Collections: | Aurora harvest 2 Electrical and Electronic Engineering publications |
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