Related papers: Necessity of Hyperbolic Absolute Risk Aversion for…
We examine the inflationary modes in the cubic curvature theories in the context of asymptotically safe gravity. On the phase space of the Hubble parameter, there exists a critical point which corresponds to the slow-roll inflation in…
Path Integral Control methods were developed for stochastic optimal control covering a wide class of finite horizon formulations with control affine nonlinear dynamics. Characteristic for this class is that the HJB equation is linear and…
We establish strong duality relations for functional two-step compositional risk-constrained learning problems with multiple nonconvex loss functions and/or learning constraints, regardless of nonconvexity and under a minimal set of…
We treat uncertain linear programming problems by utilizing the notion of weighted analytic centers and notions from the area of multi-criteria decision making. After introducing our approach, we develop interactive cutting-plane algorithms…
We propose a reinforcement learning (RL) framework under a broad class of risk objectives, characterized by convex scoring functions. This class covers many common risk measures, such as variance, Expected Shortfall, entropic Value-at-Risk,…
I examine the standard formalism of calculating curvature perturbations in inflation at horizon crossing, and derive a general relation which must be satisfied for the horizon crossing formalism to be valid. This relation is satisfied for…
It is known that hyperbolic spaces have strict negative type, a condition on the distances of any finite subset of points. We show that they have strong negative type, a condition on every probability distribution of points (with integrable…
Automatic amortized resource analysis (AARA) is a type-based technique for inferring concrete (non-asymptotic) bounds on a program's resource usage. Existing work on AARA has focused on bounds that are polynomial in the sizes of the inputs.…
Distortion risk measures are extensively used in finance and insurance applications because of their appealing properties. We present three methods to construct new class of distortion functions and measures. The approach involves the…
It has become standard practice to take the logarithmic growth of the scale factor as a measure of the amount of inflation, despite the well-known fact that this is only an approximation for the true amount of inflation required to solve…
We study a n-player and mean-field portfolio optimization problem under relative performance concerns with non-zero volatility, for wealth and consumption. The consistency assumption defining forward relative performance processes leads to…
A risk measure that is consistent with the second-order stochastic dominance and additive for sums of independent random variables can be represented as a weighted entropic risk measure (WERM). The expected utility maximization problem with…
The solution existence of finite horizon optimal economic growth problems is studied by invoking Filippov's Existence Theorem for optimal control problems with state constraints of the Bolza type from the monograph of L. Cesari…
A recent line of work, starting with Beigman and Vohra (2006) and Zadimoghaddam and Roth (2012), has addressed the problem of {\em learning} a utility function from revealed preference data. The goal here is to make use of past data…
We establish explicit socially optimal rules for an irreversible investment deci- sion with time-to-build and uncertainty. Assuming a price sensitive demand function with a random intercept, we provide comparative statics and economic…
We consider a utility-maximization problem in a general semimartingale financial model, subject to constraints on the number of shares held in each risky asset. These constraints are modeled by predictable convex-set-valued processes whose…
Accurate computation of robust estimates for extremal quantiles of empirical distributions is an essential task for a wide range of applicative fields, including economic policymaking and the financial industry. Such estimates are…
We provide a detailed characterization of the optimal consumption stream for the additive habit-forming utility maximization problem, in a framework of general discrete-time incomplete markets and random endowments. This characterization…
Our main result is that for all sufficiently large $x_0>0$, the set of commensurability classes of arithmetic hyperbolic 2- or 3-orbifolds with fixed invariant trace field $k$ and systole bounded below by $x_0$ has density one within the…
The present paper introduces a theoretical framework through which the degree of risk aversion with respect to uncertain prices can be measured through the context of the indirect utility function (IUF) using a lab experiment. First, the…