# Decision analysis using targets instead of utility functions

@article{Bordley2000DecisionAU, title={Decision analysis using targets instead of utility functions}, author={Robert F. Bordley and Marco LiCalzi}, journal={Decisions in Economics and Finance}, year={2000}, volume={23}, pages={53-74} }

Abstract.A common precept of decision analysis under uncertainty is the choice of an action which maximizes the expected value of a utility function. Savage's (1954) axioms for subjective expected utility provide a normative foundation for this principle of choice. This paper shows that the same set of axioms implies that one should select an action which maximizes the probability of meeting an uncertain target. This suggests a new perspective and an alternate target-based language for decision… Expand

#### 171 Citations

Normative target-based decision making

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- 2005

This paper relates normative expected-utility decision making to target-based decision making, and introduces a new quantity, the aspiration equivalent. We show that using the aspiration equivalent… Expand

Utility Function Induced by Fuzzy Target in Probabilistic Decision Making

- Computer Science, Mathematics
- RSCTC
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The issue of how to bring fuzzy targets within the reach of the target-based model for a class of decision making under uncertainty problems is discussed and two methods for inducing utility functions from fuzzy targets are discussed. Expand

A language for the construction of preferences under uncertainty

- Mathematics, Economics
- 1999

This paper studies a target-based procedure to rank lotteries that is normatively and observationally equivalent to the expected utility model. In view of this equivalence, the traditional… Expand

Decision Support The Pearson system of utility functions

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- 2006

A parametric family of utility functions for decision analysis that embeds the HARA class in a four-parameter representation for the risk aversion function, which makes the family suited for both expected utility and prospect theory. Expand

Aspiration Level, Probability of Success and Failure, and Expected Utility

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Aspiration levels are a relevant aspect of decision making. We develop a model that includes the overall probabilities of success and failure relative to the aspiration level into an expected utility… Expand

Robust decision making over a set of random targets or risk-averse utilities with an application to portfolio optimization

- Mathematics
- 2015

In many situations, decision-makers need to exceed a random target or make decisions using expected utilities. These two situations are equivalent when a decision-maker’s utility function is… Expand

Robust decision making using a general utility set

- Mathematics, Computer Science
- Eur. J. Oper. Res.
- 2018

It is shown that under suitable conditions a Sample Average Approximation (SAA) of the Lagrangian model can be solved using a mixed integer linear program (MILP), and the set of optimal solutions of the SAA converges to that of its true counterpart, and the optimum objective value of theSAA converging to the true objective value at an exponential rate. Expand

Aspirational Preferences and Their Representation by Risk Measures

- Mathematics, Computer Science
- Manag. Sci.
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This work considers choice over uncertain, monetary payoffs and study a general class of preferences that share a representation in terms of a family of measures of risk and targets, and shows that the choice function is equivalent to selection of a maximum index level such that the risk of beating the target at that level is acceptable. Expand

Target-Oriented Decision Analysis with Different Target Preferences

- Mathematics, Computer Science
- MDAI
- 2009

Two methods have been proposed to model the different types of target preferences: cumulative distribution function (cdf) based method and level set based method, which can both induce four shaped value functions: S - shaped, inverse S -shaped, convex, and concave, which represents decision maker's psychological preference. Expand

The Pearson system of utility functions

- Mathematics, Computer Science
- Eur. J. Oper. Res.
- 2006

This paper describes a parametric family of utility functions for decision analysis obtained by embedding the HARA class in a four-parameter representation for the risk aversion function, which makes the family suited for both expected utility and prospect theory. Expand

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