Related papers: Dual Moments and Risk Attitudes
This paper derives closed-form unbiased estimators of central moments in multilevel random-effects models with unbalanced group sizes. In a two-level model, we provide unbiased estimators for the second, third, and fourth central moments…
The extremal index $\theta$, a number in the interval $[0,1]$, is known to be a measure of primal importance for analyzing the extremes of a stationary time series. New rank-based estimators for $\theta$ are proposed which rely on the…
This study provides a solution of the equity premium puzzle. Questioning the validity of the Arrow-Pratt measure of relative risk aversion for detecting the risk behavior of investors under all conditions, a new tool, that is, the…
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…
Existing approaches to asset-pricing under model-uncertainty adapt classical utility-maximization frameworks and seek theoretical comprehensiveness. We move toward practice by considering binary model-risks and by emphasizing 'constraints'…
Time-to-event data are often recorded on a discrete scale with multiple, competing risks as potential causes for the event. In this context, application of continuous survival analysis methods with a single risk suffer from biased…
We derive a closed-form expression capturing the degree of Relative Risk Aversion (RRA) of investors for non-"fair" lotteries. We argue that our formula is superior to earlier methods that have been proposed, as it is a function of only…
Regulatory authorities guide the use of permutation tests or randomization tests so as not to increase the type-I error rate when applying covariate-adaptive randomization in randomized clinical trials. For non-inferiority and equivalence…
Background. Non-inferiority (NI) trials are increasingly used to evaluate new treatments expected to have secondary advantages over standard of care, but similar efficacy on the primary outcome. When designing a NI trial with a binary…
Economic and financial models -- such as vector autoregressions, local projections, and multivariate volatility models -- feature complex dynamic interactions and spillovers across many time series. These models can be integrated into a…
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…
Online learning has traditionally focused on the expected rewards. In this paper, a risk-averse online learning problem under the performance measure of the mean-variance of the rewards is studied. Both the bandit and full information…
We extend a general result showing that the asymptotic behavior of high moments, factorial or standard, of random variables, determines the asymptotically normality, from the one dimensional to the multidimensional setting. This approach…
A fruitful idea, when providing subdifferential formulae and dual representations for convex risk measures, is to make use of the conjugate duality theory in convex optimization. In this paper we underline the outstanding role played by the…
In extreme value theory and other related risk analysis fields, probability weighted moments (PWM) have been frequently used to estimate the parameters of classical extreme value distributions. This method-of-moment technique can be applied…
In safety-critical decision-making, the environment may evolve over time, and the learner adjusts its risk level accordingly. This work investigates risk-averse online optimization in dynamic environments with varying risk levels, employing…
We derive two-sided bounds for moments of random multilinear forms (random chaoses) with nonnegative coeficients generated by independent nonnegative random variables $X_i$ which satisfy the following condition on the growth of moments:…
The analysis of low dimensional factorial designs with possible interactions is a relevant issue. Instead of the common pre-tests for interaction, a simultaneous inference procedure of the primary factor at the respective level of the…
This paper contains an overview of results for dynamic multivariate risk measures. We provide the main results of four different approaches. We will prove under which assumptions results within these approaches coincide, and how properties…
We attribute deviations of the muon and electron magnetic moments from the theoretical predictions to the presence of an additional $U(1)^\prime$ supersymmetric model. We interpret the discrepancies between the muon and electron anomalous…