Related papers: Risk Apportionment: The Dual Story
We deal with the \textit{selective classification} problem (supervised-learning problem with a rejection option), where we want to achieve the best performance at a certain level of coverage of the data. We transform the original $m$-class…
Stochastic dominance is a crucial tool for the analysis of choice under risk. It is typically analyzed as a property of two gambles that are taken in isolation. We study how additional independent sources of risk (e.g. uninsurable labor…
We introduce diversified risk parity embedded with various reward-risk measures and more generic allocation rules for portfolio construction. We empirically test the proposed reward-risk parity strategies and compare their performance with…
The assignment problem is one of the most well-studied settings in social choice, matching, and discrete allocation. We consider the problem with the additional feature that agents' preferences involve uncertainty. The setting with…
In this paper, we revisit the equity premium puzzle reported in 1985 by Mehra and Prescott. We show that the large equity premium that they report can be explained by choosing a more appropriate distribution for the return data. We…
We consider the two-sided stable matching setting in which there may be uncertainty about the agents' preferences due to limited information or communication. We consider three models of uncertainty: (1) lottery model --- in which for each…
We consider the mechanism design problem of a principal allocating a single good to one of several agents without monetary transfers. Each agent desires the good and uses it to create value for the principal. We designate this value as the…
Differential privacy is the leading mathematical framework for privacy protection, providing a probabilistic guarantee that safeguards individuals' private information when publishing statistics from a dataset. This guarantee is achieved by…
For the past two decades investors have observed long memory and highly correlated behavior of asset classes that does not fit into the framework of Modern Portfolio Theory. Custom correlation and standard deviation estimators consider…
Computing and storing probabilities is a hard problem as soon as one has to deal with complex distributions over multiple random variables. The problem of efficient representation of probability distributions is central in term of…
In this paper, we aims to state some proprieties of willingness to pay (WTP) for partial risk reduction and links with insurance within the dual theory of decision. In the case of partial reduction, we get as Langlais (2005) that a…
Many policies allocate harms or benefits that are uncertain in nature: they produce distributions over the population in which individuals have different probabilities of incurring harm or benefit. Comparing different policies thus involves…
We introduce a way to compare actions in decision problems. One action is safer than another if the set of beliefs at which the decision-maker prefers the safer action expands as the decision-maker becomes more risk averse. We provide a…
Many-to-many matching with contracts is studied in the framework of revealed preferences. All preferences are described by choice functions that satisfy natural conditions. Under a no-externality assumption individual preferences can be…
Social decision schemes (SDSs) map the ordinal preferences of individual voters over multiple alternatives to a probability distribution over the alternatives. In order to study the axiomatic properties of SDSs, we lift preferences over…
In this paper we show that there is a link between approximate Bayesian methods and prior robustness. We show that what is typically recognized as an approximation to the likelihood, either due to the simulated data as in the Approximate…
This paper focuses on a dynamic multi-asset mean-variance portfolio selection problem under model uncertainty. We develop a continuous time framework for taking into account ambiguity aversion about both expected return rates and…
We develop new abstractions for reasoning about relaxations of differential privacy: R\'enyi differential privacy, zero-concentrated differential privacy, and truncated concentrated differential privacy, which express different bounds on…
We consider the degree distributions of preferential attachment random graph models with choice similar to those considered in recent work by Malyshkin and Paquette and Krapivsky and Redner. In these models a new vertex chooses $r$ vertices…
Recently we have introduced a novel characterisation of the distribution of twin primes that consists of three essential elements. These are: that the twins are most naturally viewed as a subsequence of the primes themselves, that the…