Decision making using the weighted median applied to risk management

The paper examines the problem of selecting an alternative in situations in which the payoffs are ordinal values and there exists uncertainty in our knowledge of the state of the world. We introduce how the weighted median can be used as an aggregation operator to provide a unifying approach to selecting alternatives. In particular, we see how the weighted median is especially useful when our evaluation of the alternatives' payoffs are represented by an ordinal scale. We also show how the weighted median satisfies important decision making criteria and provides a framework for representing the information a decision maker has regarding relevant events. We then propose a methodology for decision making, integrating the decision maker's view with the weighted median criteria. The proposed methodology is applied to a real world case involving risk management at one of the US's largest banks.