Probabilistic Decision Making with the OWA Operator and its Application in Investment Management

We develop a new model for decision making under risk environment and under uncertainty. We introduce a new aggregation operator that unifies the probabilities and the ordered weighted averaging (OWA) operator in the same formulation. We call it the probabilistic ordered weighted averaging (POWA) operator. This aggregation operator provides a more complete representation of the decision problem because it is able to consider probabilistic information and the attitudinal character of the decision maker. We study different properties and families of the POWA operator. We also develop an illustrative example of the new approach in a decision making problem about selection of investments. Keywords— Decision making; OWA operator; Probabilities; Investment selection.