Related papers: Risk Apportionment: The Dual Story
One of the exciting developments in the stated preference literature is the use of probabilistic stated preference experiments to estimate semi-parametric population distributions of ex ante returns and willingness-to-pay (WTP) for a choice…
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…
Assistive multi-armed bandit problems can be used to model team situations between a human and an autonomous system like a domestic service robot. To account for human biases such as the risk-aversion described in the Cumulative Prospect…
As the use of differential privacy (DP) becomes widespread, the development of effective tools for reasoning about the privacy guarantee becomes increasingly critical. In pursuit of this goal, we demonstrate novel relationships between DP…
This study provides the solution to the equity premium puzzle. The new model was developed by including the behavior of investors toward risk in financial markets in prior studies. The calculations of this newly tested model show that the…
We consider the problem of optimal investment with random endowment in a Black--Scholes market for an agent with constant relative risk aversion. Using duality arguments, we derive an explicit expression for the optimal trading strategy,…
Policy learning algorithms are widely used in areas such as personalized medicine and advertising to develop individualized treatment regimes. However, most methods force a decision even when predictions are uncertain, which is risky in…
In this paper, we consider the chance constrained based uncertain portfolio optimization problem in which the uncertain parameters are stochastic in nature. The primary goal of the work is to formulate the uncertain problem into a…
We consider infinite dimensional optimization problems motivated by the financial model called Arbitrage Pricing Theory. Using probabilistic and functional analytic tools, we provide a dual characterization of the super-replication cost.…
This paper develops a unified framework that integrates behavioral distortions into rational portfolio optimization by extracting implied probability weighting functions (PWFs) from optimal portfolios modeled under Gaussian and…
How should a risk-averse newsvendor order optimally under distributional ambiguity? Attempts to extend Scarf's celebrated distribution-free ordering rule using risk measures have led to conflicting prescriptions: CVaR-based models…
We consider the robust exponential utility maximization problem in discrete time: An investor maximizes the worst case expected exponential utility with respect to a family of nondominated probabilistic models of her endowment by…
A game-theoretic model of social preference and enlightened self-interest is formulated. Existence of symmetry and duality in the game matrices with altruistic social preference is revealed. The model is able to quantitatively describe the…
Evolutionary game theory assumes that individuals maximize their benefits when choosing strategies. However, an alternative perspective proposes that individuals seek to maximize the benefits of others. To explore the relationship between…
A quadratic discrete time probabilistic model, for optimal portfolio selection in (re-)insurance is studied. For positive values of underwriting levels, the expected value of the accumulated result is optimized, under constraints on its…
Abel-Tauberian theorems relate power law behavior of distributions and their transforms. We formulate and prove a multivariate version for non-standard regularly varying measures on $\mathbb{R}_+^p$ and then apply it to prove that the joint…
LLMs are increasingly used to make or support high-stakes decisions under uncertainty, where alignment depends not only on factual accuracy but on how models weigh tradeoffs between different outcomes. We present an empirical pipeline for…
We introduce Joint Probability Trees (JPT), a novel approach that makes learning of and reasoning about joint probability distributions tractable for practical applications. JPTs support both symbolic and subsymbolic variables in a single…
We investigate pricing-hedging duality for American options in discrete time financial models where some assets are traded dynamically and others, e.g. a family of European options, only statically. In the first part of the paper we…
We all have preferences when multiple choices are available. If we insist on satisfying our preferences only, we may suffer a loss due to conflicts with other people's identical selections. Such a case applies when the choice cannot be…