Risk Attitude in Multicriteria Decision Analysis: A Compromise Approach

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Ribes Rossiñol De Zagranada, Juan and González-Pachón, Jacinto (2021) Risk Attitude in Multicriteria Decision Analysis: A Compromise Approach. International Journal of Environmental Research and Public Health, 18 (12). p. 6536. ISSN 1660-4601

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Official URL: https://doi.org/10.3390/ijerph18126536




Abstract

In fields on which decisions need to be taken including health, as we are seeing nowadays in the COVID-19 crisis, decision-makers face multiple criteria and results with a random component. In stochastic multicriteria decision-making models, the risk attitude of the decision maker is a relevant factor. Traditionally, the shape of a utility function is the only element that represents the decision maker’s risk attitude. The eduction process of multi-attribute utility functions implies some operational drawbacks, and it is not always easy. In this paper, we propose a new element with which the decision maker’s risk attitude can be implemented: the selection of the stochastic efficiency concept to be used during a decision analysis. We suggest representing the risk attitude as a conflict between two poles: risk neutral attitude, associated with best expectations, and risk aversion attitude, associated with a lower uncertainty. The Extended Goal Programming formulation has inspired the parameter that is introduced in a new risk attitude formulation. This parameter reflects the trade-off between the two classical poles with respect to risk attitude. Thus, we have produced a new stochastic efficiency concept that we call Compromise Efficiency.


Item Type:Article
Uncontrolled Keywords:stochastic multicriteria decision; stochastic efficiency; risk attitudes; Extended Goal Programming
Subjects:Social sciences > Economics > Econometrics
ID Code:71012
Deposited On:07 Mar 2022 14:47
Last Modified:08 Mar 2022 09:17

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