Related papers: A Theory of Choice Bracketing under Risk
Discrete-choice models are used in economics, marketing and revenue management to predict customer purchase probabilities, say as a function of prices and other features of the offered assortment. While they have been shown to be…
We pursue robust approach to pricing and hedging in mathematical finance. We consider a continuous time setting in which some underlying assets and options, with continuous paths, are available for dynamic trading and a further set of…
We introduce a graceful approach to probabilistic inference called bounded conditioning. Bounded conditioning monotonically refines the bounds on posterior probabilities in a belief network with computation, and converges on final…
By embedding uncertainty into time, we obtain a conjoint axiomatic characterization of both Exponential Discounting and Subjective Expected Utility that accommodates arbitrary state and outcome spaces. In doing so, we provide a novel and…
We study a variation of the minority game. There are N agents. Each has to choose between one of two alternatives everyday, and there is reward to each member of the smaller group. The agents cannot communicate with each other, but try to…
In our previous paper, "A Unified Approach to Systemic Risk Measures via Acceptance Set" (\textit{Mathematical Finance, 2018}), we have introduced a general class of systemic risk measures that allow for random allocations to individual…
We consider a discrete-time bipartite matching model with random arrivals of units of supply and demand that can wait in queues located at the nodes in the network. A control policy determines which are matched at each time. The focus is on…
We propose a generalization of the Bass diffusion model in discrete-time that explicitly models the effect of price in adoption. Our model is different from earlier price-incorporated models and fits well to adoption data for various…
We consider the scheduling problem on $n$ strategic unrelated machines when no payments are allowed, under the objective of minimizing the makespan. We adopt the model introduced in [Koutsoupias, Theory Comput. Syst. (2014)] where a machine…
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…
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…
Solution techniques for Constraint Satisfaction and Optimisation Problems often make use of backtrack search methods, exploiting variable and value ordering heuristics. In this paper, we propose and analyse a very simple method to apply in…
The paper [12] examines a concept of equilibrium policies instead of optimal controls in stochastic optimization to analyze a mean-variance portfolio selection problem. We follow the same approach in order to investigate the Merton…
In this paper we consider multiple constrained resource allocation problems, where the constraints can be specified by formulating activity dependency restrictions or by using game-theoretic models. All the problems are focused on generic…
Experience replay is a core ingredient of modern deep reinforcement learning, yet its benefits in policy optimization are poorly understood beyond empirical heuristics. This paper develops a novel theoretical framework for experience replay…
Model selection is often performed by empirical risk minimization. The quality of selection in a given situation can be assessed by risk bounds, which require assumptions both on the margin and the tails of the losses used. Starting with…
We consider the pricing and hedging of exotic options in a model-independent set-up using \emph{shortfall risk and quantiles}. We assume that the marginal distributions at certain times are given. This is tantamount to calibrating the model…
This paper studies a continuous-time portfolio selection problem under a general distribution of random risk aversion (RRA). We provide a complete characterization of all deterministic equilibrium strategies in closed form. Our results show…
This paper examines a continuous time intertemporal consumption and portfolio choice problem with a stochastic differential utility preference of Epstein-Zin type for a robust investor, who worries about model misspecification and seeks…
Consider an investor trading dynamically to maximize expected utility from terminal wealth. Our aim is to study the dependence between her risk aversion and the distribution of the optimal terminal payoff. Economic intuition suggests that…