Related papers: Ambiguous Volatility, Possibility and Utility in C…

We provide sufficient conditions under which a utility function may be recovered from a finite choice experiment. Identification, as is commonly understood in decision theory, is not enough. We provide a general recoverability result that…

This paper investigates the equilibrium portfolio selection for smooth ambiguity preferences in a continuous-time market. The investor is uncertain about the risky asset's drift term and updates the subjective belief according to the…

Ambiguity and ambiguity aversion have been widely studied in decision theory and economics both at a theoretical and an experimental level. After Ellsberg's seminal studies challenging subjective expected utility theory (SEUT), several…

This paper introduces a qualitative measure of ambiguity and analyses its relationship with other measures of uncertainty. Probability measures relative likelihoods, while ambiguity measures vagueness surrounding those judgments. Ambiguity…

We study the problem of maximising terminal utility for an agent facing model uncertainty, in a frictionless discrete-time market with one safe asset and finitely many risky assets. We show that an optimal investment strategy exists if the…

We discuss representing and reasoning with knowledge about the time-dependent utility of an agent's actions. Time-dependent utility plays a crucial role in the interaction between computation and action under bounded resources. We present a…

Ambiguity, an information state where multiple interpretations are plausible, is a common challenge in visual analytics (VA) systems. We discuss lessons learned from a case study designing VA tools for Canadian avalanche forecasters.…

Pervasive personal communication technologies offer the potential for important social benefits for individual users, but also the potential for significant social difficulties and costs. In research on face-to-face social interaction,…

We introduce a model-free preference under ambiguity, as a primitive trait of behavior, which we apply once as well as repeatedly. Its single and double application yield simple, easily interpretable definitions of ambiguity aversion and…

Motivated by recent axiomatic developments, we study the risk- and ambiguity-averse investment problem where trading takes place over a fixed finite horizon and terminal payoffs are evaluated according to a criterion defined in terms of a…

Time variation and persistence are crucial properties of volatility that are often studied separately in energy volatility forecasting models. Here, we propose a novel approach that allows shocks with heterogeneous persistence to vary…

By quantising the background as well as the perturbations in a simple one fluid model, we show that there exists an ambiguity in the choice of relevant variables, potentially leading to incompatible observational physical predictions. In a…

Arguments are given that time must be defined in an operative manner,i.e., by constructing devices which can serve as clocks.The investigation of such devices leads to the conclusion that there is a principal uncertainity of time if one…

We discuss Bayesian model uncertainty analysis and forecasting in sequential dynamic modeling of multivariate time series. The perspective is that of a decision-maker with a specific forecasting objective that guides thinking about relevant…

We consider the ambiguity associated with the choice of clock in time reparameterization invariant theories. This arbitrariness undermines the goal of prescribing a fixed set of physical laws, since a change of time variable can completely…

The uncertainty quantification and risk modeling are hot topics in the operation and planning of energy systems. The system operators and planners are decision-makers that need to handle the uncertainty of input data of their models. As an…

This work contributes to a compositional theory of "co-design" that allows to optimally design a robotic platform. In this framework, the user describes each subsystem as a monotone relation between "functionality" provided and "resources"…

Reliability (survival analysis, to biostatisticians) is a key ingredient for mak- ing decisions that mitigate the risk of failure. The other key ingredient is utility. A decision theoretic framework harnesses the two, but to invoke this…

The expected utility hypothesis is a popular concept in economics that is useful for making decisions when the payoff is uncertain. In this paper, we investigate the implications of a fluctuation theorem in the theory of expected utility.…

Existing procedures for model validation have been deemed inadequate for many engineering systems. The reason of this inadequacy is due to the high degree of complexity of the mechanisms that govern these systems. It is proposed in this…