Related papers: Iterated risk measures for risk-sensitive Markov d…
Our goal is to extract useful knowledge from demonstrations of behavior in sequential decision-making problems. Although it is well-known that humans commonly engage in risk-sensitive behaviors in the presence of stochasticity, most Inverse…
We analyze the limiting behavior of the risk premium associated with the Pareto optimal risk sharing contract in an infinitely expanding pool of risks under a general class of law-invariant risk measures encompassing rank-dependent utility…
In this paper, we consider risk-sensitive Markov Decision Processes (MDPs) with Borel state and action spaces and unbounded cost under both finite and infinite planning horizons. Our optimality criterion is based on the recursive…
Constrained decision-making is essential for designing safe policies in real-world control systems, yet simulated environments often fail to capture real-world adversities. We consider the problem of learning a policy that will maximize the…
This paper investigates the optimization problem of an infinite stage discrete time Markov decision process (MDP) with a long-run average metric considering both mean and variance of rewards together. Such performance metric is important…
We consider the setting in which an electric power utility seeks to curtail its peak electricity demand by offering a fixed group of customers a uniform price for reductions in consumption relative to their predetermined baselines. The…
We investigate to which extent the relevant features of (static) Systemic Risk Measures can be extended to a conditional setting. After providing a general dual representation result, we analyze in greater detail Conditional Shortfall…
By analysing the restrictions that ensure the existence of capital market equilibrium, we show that the coefficient of relative risk aversion and the subjective discount factor cannot be high simultaneously as they are supposed to be to…
In this work we generalize standard Decision Theory by assuming that two outcomes can also be incomparable. Two motivating scenarios show how incomparability may be helpful to represent those situations where, due to lack of information,…
The paper concerns primal and dual representations as well as time consistency of set-valued dynamic risk measures. Set-valued risk measures appear naturally when markets with transaction costs are considered and capital requirements can be…
This paper introduces a new type of risk measures, namely regime switching entropic risk measures, and study their applicability through simulations. The state of the economy is incorporated into the entropic risk formulation by using a…
In this paper, we consider a risk-averse decision problem for controlled-diffusion processes, with dynamic risk measures, in which multiple risk-averse agents choose their decisions in such a way to minimize their individual accumulated…
In order to deal with market power that sporadically results from contingencies (e.g., severe weather, plant outages) most electricity markets have institutions in charge of monitoring market performance and mitigating market power. The…
Snapshots of "best" (or "worst") experience are known to dominate human memory and may thus also have a significant effect on future behaviour. We consider here a model of repeated decision-making where, at every time step, an agent takes…
Diversification represents the idea of choosing variety over uniformity. Within the theory of choice, desirability of diversification is axiomatized as preference for a convex combination of choices that are equivalently ranked. This…
Diversification is the typical investment strategy of risk-averse agents. However, non-diversified positions that allocate all resources to a single asset, state of the world or revenue stream are common too. We show that whenever finitely…
This paper is concerned with learning decision makers' preferences using data on observed choices from a finite set of risky alternatives. We propose a discrete choice model with unobserved heterogeneity in consideration sets and in…
This paper addresses risk awareness of stochastic optimization problems. Nested risk measures appear naturally in this context, as they allow beneficial reformulations for algorithmic treatments. The reformulations presented extend usual…
We study consumption dependence in the context of random utility and repeated choice. We show that, in the presence of consumption dependence, the random utility model is a misspecified model of repeated rational choice. This…
The risk of a financial position is usually summarized by a risk measure. As this risk measure has to be estimated from historical data, it is important to be able to verify and compare competing estimation procedures. In statistical…