Related papers: Necessity of Hyperbolic Absolute Risk Aversion for…
This paper considers the portfolio management problem of optimal investment, consumption and life insurance. We are concerned with time inconsistency of optimal strategies. Natural assumptions, like different discount rates for consumption…
Reliability (survival analysis, to biostatisticians) is a key ingredient for mak- ing decisions that mitigate the risk of failure. The other key ingredient is utility. A decision theoretic framework harnesses the two, but to invoke this…
Ivrii's conjecture asserts that the Cauchy problem is $C^{\infty}$ well-posed for any lower order term if every critical point of the principal symbol is effectively hyperbolic. Effectively hyperbolic critical point is at most triple…
A key challenge to deploying reinforcement learning in practice is avoiding excessive (harmful) exploration in individual episodes. We propose a natural constraint on exploration -- \textit{uniformly} outperforming a conservative policy…
We investigate optimal consumption and investment problems for a Black-Scholes market under uniform restrictions on Value-at-Risk and Expected Shortfall. We formulate various utility maximization problems, which can be solved explicitly. We…
We show that a cosmological negative spatial curvature can account for both a recently identified phenomenological imprint of the global Hubble flow on galactic rotation curves and for the recently detected cosmic repulsion and cosmic…
Risk-averse Constrained Reinforcement Learning (RaCRL) aims to learn policies that minimise the likelihood of rare and catastrophic constraint violations caused by an environment's inherent randomness. In general, risk-aversion leads to…
In the paper there is studied an optimal saving model in which the interest-rate risk for saving is a fuzzy number. The total utility of consumption is defined by using a concept of possibilistic expected utility. A notion of possibilistic…
Multivariate regular variation plays a role assessing tail risk in diverse applications such as finance, telecommunications, insurance and environmental science. The classical theory, being based on an asymptotic model, sometimes leads to…
We introduce a hyperbolic neural network approach to pixel-level active learning for semantic segmentation. Analysis of the data statistics leads to a novel interpretation of the hyperbolic radius as an indicator of data scarcity. In HALO…
A monopolist wishes to maximize her profits by finding an optimal price policy. After she announces a menu of products and prices, each agent $x$ will choose to buy that product $y(x)$ which maximizes his own utility, if positive. The…
The exploration \& exploitation dilemma poses significant challenges in reinforcement learning (RL). Recently, curiosity-based exploration methods achieved great success in tackling hard-exploration problems. However, they necessitate…
Localization and dilation procedures are discussed for infinite dimensional $\alpha$-concave measures on abstract locally convex spaces (following Borell's hierarchy of hyperbolic measures).
We consider a single-period portfolio selection problem for an investor, maximizing the expected ratio of the portfolio utility and the utility of a best asset taken in hindsight. The decision rules are based on the history of stock returns…
Active learning(AL), which serves as the representative label-efficient learning paradigm, has been widely applied in resource-constrained scenarios. The achievement of AL is attributed to acquisition functions, which are designed for…
In this paper we provide a novel family of stochastic orders that generalizes second order stochastic dominance, which we call the $\alpha,[a,b]$-concave stochastic orders. These stochastic orders are generated by a novel set of "very"…
The global financial crisis of 2007-2009 highlighted the crucial role systemic risk plays in ensuring stability of financial markets. Accurate assessment of systemic risk would enable regulators to introduce suitable policies to mitigate…
We represent preferences that exhibit absolute or relative attitudes towards ambiguity without assuming convexity of preferences. Our analysis is motivated by the recent experimental evidence by Baillon and Placido (2019) indicating that…
Convexity, though extremely important in mathematical programming, has not drawn enough attention in the field of dynamic programming. This paper gives conditions for verifying convexity of the cost-to-go functions, and introduces an…
Conserving approximations are applied to the attractive Holstein and Hubbard models (on an infinite-dimensional hypercubic lattice). All effects of nonconstant density of states and vertex corrections are taken into account in the…