Ranking risk attitudes using an integrated AHP-TOPSIS approach

Due to the ambiguity between risk attitudes, this study aims at ranking the different risk attitudes considering the factors that affect the behaviour of the decision-makers. Both the technique for order preference by similarity to ideal solution (TOPSIS) and analytical hierarchy process (AHP) are employed to address the characteristics of risk attitudes aiming to highlight the criteria significance and finally to rank the most impactful risk attitude. It was found that regret aversion and risk aversion attitudes have higher impact in real life decision-making problems. In contrast, the maximin and maximax risk attitudes have the lowest importance. Risk seeking and regret aversion attitudes demonstrated the highest importance using TOPSIS of equal-weights while the importance of loss aversion and regret aversion have the highest for the AHP-TOPSIS approach. The results of this study can be beneficial for decision-makers who encounter a variety of risk attitudes in their decision problems.