Related papers: Optimistic Risk Perception in the Temporal Differe…
This paper brings the concept of ``optimism" to the new and promising framework of online Non-stochastic Control (NSC). Namely, we study how NSC can benefit from a prediction oracle of unknown quality responsible for forecasting future…
We study the regret guarantee for risk-sensitive reinforcement learning (RSRL) via distributional reinforcement learning (DRL) methods. In particular, we consider finite episodic Markov decision processes whose objective is the entropic…
Distributional reinforcement learning (RL) -- in which agents learn about all the possible long-term consequences of their actions, and not just the expected value -- is of great recent interest. One of the most important affordances of a…
A growing body of evidence has shown that incorporating behavioral economics principles into the design of financial incentive programs helps improve their cost-effectiveness, promote individuals' short-term engagement, and increase…
Different models to study the wealth distribution in an artificial society have considered a transactional dynamics as the driving force. Those models include a risk aversion factor, but also a finite probability of favoring the poorer…
We study risk-sensitive reinforcement learning (RL), a crucial field due to its ability to enhance decision-making in scenarios where it is essential to manage uncertainty and minimize potential adverse outcomes. Particularly, our work…
What return should you expect when you take on a given amount of risk? How should that return depend upon other people's behavior? What principles can you use to answer these questions? In this paper, we approach these topics by exploring…
We uncover a close link between outside options and risk attitude: when a decision-maker gains access to an outside option, her behaviour becomes less risk-averse, and conversely, any observed decrease of risk-aversion can be explained by…
Humans often make decisions which maximize an internal utility function. For example, humans often maximize their expected reward when gambling and this is considered as a "rational" decision. However, humans tend to change their betting…
Active perception approaches select future viewpoints by using some estimate of the information gain. An inaccurate estimate can be detrimental in critical situations, e.g., locating a person in distress. However the true information gained…
We model investor heterogeneity using different required returns on an investment and evaluate the impact on the valuation of an investment. By assuming no disagreement on the cash flows, we emphasize how risk preferences in particular, but…
The goal of this article is to investigate how human participants allocate their limited time to decisions with different properties. We report the results of two behavioral experiments. In each trial of the experiments, the participant…
Most people are risk-averse (risk-seeking) when they expect to gain (lose). Based on a generalization of ``expected utility theory'' which takes this into account, we introduce an automaton mimicking the dynamics of economic operations.…
This paper discusses an alternative explanation for the empirical findings contradicting the positive relationship between risk (variance) and reward (expected return). We show that these contradicting results might be due to the false…
When a game involves many agents or when communication between agents is not possible, it is useful to resort to distributed learning where each agent acts in complete autonomy without any information on the other agents' situations.…
Stratifying factors, like age and gender, can modify the effect of treatments and exposures on risk of a studied outcome. Several effect measures, including the relative risk, hazard ratio, odds ratio, and risk difference, can be used to…
Being able to predict the occurrence of extreme returns is important in financial risk management. Using the distribution of recurrence intervals---the waiting time between consecutive extremes---we show that these extreme returns are…
Risk aversion is a common behavior universal to humans and animals alike. Economists have traditionally defined risk preferences by the curvature of the utility function. Psychologists and behavioral economists also make use of concepts…
This paper studies the optimistic variant of Fictitious Play for learning in two-player zero-sum games. While it is known that Optimistic FTRL -- a regularized algorithm with a bounded stepsize parameter -- obtains constant regret in this…
The hazard ratio is one of the most commonly reported measures of treatment effect in randomised trials, yet the source of much misinterpretation. This point was made clear by (Hernan, 2010) in commentary, which emphasised that the hazard…