Abstract:
The correspondence of some risk indicators to the requirement of their coordinated change with the associated preference indicators is studied for problems of comparing interval alternatives. A coordinated change is such a change, in which the value of the corresponding risk indicator increases with the growth of the preference indicator. It is shown that in methods of individual risk, the “meanrisk” type, left-sided risk indicators are coordinated for choosing the distribution mode as an indicator of preference, and also, with known limitations, for choosing the distribution median as a measure of preference. It has been established that the indicator of the mean semi-deviation, which is recommended as an indicator of risk for choosing the mathematical expectation of the distribution as a measure of preference, does not meet this requirement, and therefore cannot, generally speaking, be considered as adequate for problems of comparing interval alternatives.
Keywords:comparing of interval alternatives, risk measures, coordinated changes of risk and preference indicators.
Fulltext:
PDF file (373 kB)