Related papers: Mathematical Constraints on Financially Viable Pub…
The ability to compute reward-optimal policies for given and known finite Markov decision processes (MDPs) underpins a variety of applications across planning, controller synthesis, and verification. However, we often want policies (1) to…
Why are human societies unstable? Theories based on the observation of recurring patterns in historical data indicate that economic inequality, as well as social factors are key drivers. So far, models of this phenomenon are more…
Public debt is one of the important economic variables that quantitatively describes a nation's economy. Because bankruptcy is a risk faced even by institutions as large as governments (e.g. Iceland), national debt should be strictly…
It is shown that the axioms for coherent risk measures imply that whenever there is an asset in a portfolio that dominates the others in a given sample (which happens with finite probability even for large samples), then this portfolio…
Strategyproof mechanisms provide robust equilibrium with minimal assumptions about knowledge and rationality but can be unachievable in combination with other desirable properties such as budget-balance, stability against deviations by…
Our goal is to compute a policy that guarantees improved return over a baseline policy even when the available MDP model is inaccurate. The inaccurate model may be constructed, for example, by system identification techniques when the true…
This paper studies the robust optimal gain selection problem for financial trading systems, formulated within a \emph{double linear policy} framework, which allocates capital across long and short positions. The key objective is to…
Our infrastructure systems enable our well-being by allowing us to move, store, and transform materials and information given considerable social and environmental variation. Critically, this ability is shaped by the degree to which society…
We provide two methodological insights on \emph{ex ante} policy evaluation for macro models of economic development. First, we show that the problems of parameter instability and lack of behavioral constancy can be overcome by considering…
We address the statistical estimation of composite functionals which may be nonlinear in the probability measure. Our study is motivated by the need to estimate coherent measures of risk, which become increasingly popular in finance,…
We use a decision-theoretic framework to study the problem of forecasting discrete outcomes when the forecaster is unable to discriminate among a set of plausible forecast distributions because of partial identification or concerns about…
We derive the most probable distribution of resources for a simple society. We find that a probabilistic analysis forbids both too much and too less equity, and selects instead a minimally ordered state. We give the detailed calculations…
We present a new approach to the problems of evaluating and learning personalized decision policies from observational data of past contexts, decisions, and outcomes. Only the outcome of the enacted decision is available and the historical…
Constraint tightening to non-conservatively guarantee recursive feasibility and stability in Stochastic Model Predictive Control is addressed. Stability and feasibility requirements are considered separately, highlighting the difference…
In reinforcement learning, robust policies for high-stakes decision-making problems with limited data are usually computed by optimizing the percentile criterion, which minimizes the probability of a catastrophic failure. Unfortunately,…
The equity risk premium puzzle is that the return on equities has far exceeded the average return on short-term risk-free debt and cannot be explained by conventional representative-agent consumption based equilibrium models. We review a…
We prove existence and uniqueness of solutions, continuous dependence from the initial datum and stability with respect to the boundary condition in a class of initial--boundary value problems for systems of balance laws. The particular…
With negative growth in real production in many countries and debt levels which become an increasing burden on developed societies, the calls for a change in economic policy and even the monetary system become louder and increasingly…
This paper considers the constrained portfolio optimization in a generalized life-cycle model. The individual with a stochastic income manages a portfolio consisting of stocks, a bond, and life insurance to maximize his or her consumption…
We show that for several variations of partially observable Markov decision processes, polynomial-time algorithms for finding control policies are unlikely to or simply don't have guarantees of finding policies within a constant factor or a…