Sundeep Samson, Clemson University


Making Consistent and Rational Decision in a Portfolio Selection Problem

Abstract:  In 1961 Ellsberg proposed two urn problems to show that rational decision makers frequently violate SavageÕs axioms yielding irrational decisions. We show that our methodology involving stochastic analysis and performance based multicriteria decision making under uncertainty and risk techniques yields a rational decision to the Ellsberg's urn problem written as a portfolio selection problem without any additional conditions on the uncertainty.

Advisor: James Reneke (Clemson)