We examine worst-case analysis from the standpoint of classical Decision Theory. We elucidate how this analysis is expressed in the framework of Wald's famous Maximin paradigm for decision-making under strict uncertainty. We illustrate the subtlety required in modeling this paradigm by showing that information-gap's robustness model is in fact a Maximin model in disguise.
This paper describes a heuristic forecasting model based on neural networks for stock decision-making. Some heuristic strategies are presented for enhancing the learning capability of neural networks and obtaining better trading performance. The China Shanghai Composite Index is used as case study. The forecasting model can forecast the buying and selling signs according to the result of neural network prediction. Results are compared with a benchmark buy-and-hold strategy. The forecasting model...
A decision situation with partial information on preferences by means of a vector value function is assumed. The concept of minimum value dispersion solution as a reference point joined with a pseudodistance function from such a point and a dispersion level ε, lead to the notion of ε-dispersion set. The dispersion level represents the amount of value that the decision maker can be indifferent to, therefore he should choose his most preferred solution in this set. Convergence properties, as well...
Soit F une famille de critères conçue pour asseoir un modèle de préférences global sur un ensemble A d'actions potentielles (ou alternatives). On se place ici dans une perspective d'aide à la décision et dans l'hypothèse où des dépendances (encore appelées interactions) sont susceptibles d'exister entre certains des critères de F. On commence (cf. Sect. 2.1) par préciser ce que signifie l'affirmation "il existe des dépendances entre certains des critères de F" (Déf. 1). On s'intéresse ensuite...
The paper has been presented at the International Conference Pioneers of Bulgarian Mathematics, Dedicated to Nikola Obreshko and Lubomir Tschakalo , So a, July, 2006.The current paper introduces the usage of subjective evaluations by others as a tool that can support consumers' decisions. It summarizes the features of the main UDDI registry providers and presents an extension to any UDDI registry allowing users of the registry to publish subjective evaluations for any artifact found in it and to...
The study of decision making and problem solving has attracted much attention. Since the middle of this century the notion of rational decision making was associated with expected utility maximization, albeit in a very different way than D. Bernoulli (1738) envisioned. For decisions under risk, Von Neumann and Morgenstern (1947) formulated the axioms for expected utility. For decisions under uncertainty Savage (1954) developed the axioms leading simultaneously to subjective probability and expected...
In this paper, we develop the concept of almost stochastic dominance for higher order preferences and investigate the related properties of this concept.