Guaranteed solution for risk-neutral decision maker: an analog of maximin in single-criterion choice problem

In this article single-criterion choice problems under uncertainty (SCPUs) are considered. The principle of minimax regret and the Savage-Niehans risk function are introduced. A possible approach to solving an SCPU for a decision-maker who simultaneously seeks to increase his outcome and reduce his risk (“to kill two birds with one stone”) is proposed. The explicit form of such a solution for the linear-quadratic setup of the SCPU is obtained.