We develop the concept of utility robustness to address the problem of ambiguity and inconsistency in utility assessments. A robust decision-making framework is built on a utility set which characterizes a decision maker's risk attitude described by boundary and auxiliary conditions. This framework is studied using the Sample Average Approximation (SAA) approach. We show the asymptomatic convergence and give a tractable mixed-integer reformulation of the SAA problem. An application of this framework is illustrated by a portfolio investment decision problem in financial markets.
IEMS Dept., Northwestern University, 2012