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2 Bulletin of the Polish Academy of Sciences. Technical Sciences

2 2003

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On General Theory of Risk Management and Decision Support Systems

Kulikowski R.

Bulletin of the Polish Academy of Sciences. Technical Sciences

2003

Vol. 51, nr 3

213-226

The paper extends the risk management theory based on the two factors utility concept introduced by Kulikowski [5],[6]. The extension concerns, in particular, the rate of return for financial as well as the human capital. The simple success - failure model is used for construction of the utility function. The utility function depends on the subjective probability, which is an explicite function of the objective probability of success. It depends also on the fear of risk quelling parameter. Using that function one can show when the utility of an unfair economic gamble or lottery can be accepted or rejected. Such an approach enables one to take into account the behavioural aspects in the decision support problems.

Extension of the Portfolio Models with an Aspect of Purchase of Information

Banek T., Kozłowski E.

Bulletin of the Polish Academy of Sciences. Technical Sciences

2003

Vol. 51, nr 3

227-243

An operational model of portfolio selection is presented in this paper. The model describes the situation of an investor who constructs a portfolio of assets according to the specific criterion and purchases information about the distribution of a random vector of returns from particular assets.