A system and method for determining an optimal action in consideration of risk. The method includes the steps of: (a) selecting a state from possible states in a current term; (b) selecting an action from action candidates that can be executed in a selected state; (c) calculating a probability distribution of an evaluation value for a selected action; (d) calculating a risk measure using the probability distribution of the evaluation value; (e) determining a weighting function conforming to at least one preference by taking the risk measure into consideration; (f) calculating a value measure of the selected action; (g) repeating steps (b) through (f) for all other the action candidates that can be executed in the selected state; and (h) comparing the value measures of the selected actions in order to determine an optimal action for the selected state.