Related papers: Risk and Intertemporal Preferences over Time Lotte…
A parameterization that is a modified version of a previous work is proposed for the returns and correlation matrix of financial time series and its properties are studied. This parameterization allows easy introduction of non-stationarity…
Contextual bandits have the same exploration-exploitation trade-off as standard multi-armed bandits. On adding positive externalities that decay with time, this problem becomes much more difficult as wrong decisions at the start are hard to…
This paper introduces a space of variable lotteries and proves a constructive version of the expected utility theorem. The word ``constructive'' is used here in two senses. First, as in constructive mathematics, the logic underlying proofs…
Our goal in this paper is to plan the motion of a robot in a partitioned environment with dynamically changing, locally sensed rewards. We assume that arbitrary assumptions on the reward dynamics can be given. The robot aims to accomplish a…
The main goal of this paper is to describe an axiomatic utility theory for Dempster-Shafer belief function lotteries. The axiomatic framework used is analogous to von Neumann-Morgenstern's utility theory for probabilistic lotteries as…
We use the P&L on a particular class of swaps, representing variance and higher moments for log returns, as estimators in our empirical study on the S&P500 that investigates the factors determining variance and higher-moment risk premia.…
Large amounts of evidence suggest that trust levels in a country are an important determinant of its macroeconomic growth. In this paper, we investigate one channel through which trust might support economic performance: through the levels…
We propose a multivariate extension of Yaari's dual theory of choice under risk. We show that a decision maker with a preference relation on multidimensional prospects that preserves first order stochastic dominance and satisfies…
We combine forward investment performance processes and ambiguity averse portfolio selection. We introduce the notion of robust forward criteria which addresses the issues of ambiguity in model specification and in preferences and…
Opportunities, such as access to education or family background, shape income inequality by influencing the chances of economic success. Unequal opportunities create uncertainty about whether success is merit- or luck-based. We examine how…
This work theoretically studies a ubiquitous reinforcement learning policy for controlling the canonical model of continuous-time stochastic linear-quadratic systems. We show that randomized certainty equivalent policy addresses the…
Explanations of the internal validity of regression discontinuity designs (RDD) generally appeal to the idea that RDDs are ``as good as" random near the treatment cut point. Cattaneo, Frandsen, and Titiunik (2015) are the first to take this…
Previous work has shown that reasoning with real-time temporal logics is often simpler when restricted to models with bounded variability---where no more than v events may occur every V time units, for given v, V. When reasoning about…
Three statistical studies, all published between 2004 and 2008 but without referring to one another, assert a useful equivalence involving the hazard ratio, a parameter estimated for time to event data by the frequently used proportional…
Monotonicity and recursivity are central assumptions in intertemporal consumption problems under ambiguity. We show that monotone recursive preferences admit both a recursive and an ex-ante representation, and that the certainty equivalent…
People are often reluctant to sell a house, or shares of stock, below the price at which they originally bought it. While this is generally not consistent with rational utility maximization, it does reflect two strong empirical regularities…
We establish an equivalence between two seemingly different theories: one is the traditional axiomatisation of incomplete preferences on horse lotteries based on the mixture independence axiom; the other is the theory of desirable gambles…
Offline reinforcement learning (RL) is suitable for safety-critical domains where online exploration is too costly or dangerous. In such safety-critical settings, decision-making should take into consideration the risk of catastrophic…
We consider concurrent stochastic games played on graphs with reachability and safety objectives. These games can be solved by value iteration as well as strategy iteration, each of them yielding a sequence of under-approximations of the…
We introduce a new stochastic duration model for transaction times in asset markets. We argue that widely accepted rules for aggregating seemingly related trades mislead inference pertaining to durations between unrelated trades: while any…