Related papers: Measuring Price Risk Aversion through Indirect Uti…
We discuss the asymptotic behaviour of risk-based indifference prices of European contingent claims in discrete-time financial markets under volatility uncertainty as the number of intermediate trading periods tends to infinity. The…
In this article we consider an optimization problem of expected utility maximization of continuous-time trading in a financial market. This trading is constrained by a benchmark for a utility-based shortfall risk measure. The market…
Economists often estimate causal effects of policies on multiple outcomes and summarize them into scalar measures of cost-effectiveness or welfare, such as the Marginal Value of Public Funds (MVPF). In many settings, microdata underlying…
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…
We analyze and quantify, in a financial market with parameter uncertainty and for a Constant Relative Risk Aversion investor, the utility effects of two different boundedly rational (i.e., sub-optimal) investment strategies (namely, myopic…
This paper surveys the empirical literature of inflation targeting. The main findings from our review are the following: there is robust empirical evidence that larger and more developed countries are more likely to adopt the IT regime; the…
In economic program evaluation, it is common to obtain panel data in which outcomes are indicators that an individual has reached an absorbing state. For example, they may indicate whether an individual has exited a period of unemployment,…
Micro-randomized trials are commonly conducted for optimizing mobile health interventions such as push notifications for behavior change. In analyzing such trials, causal excursion effects are often of primary interest, and their estimation…
It is essential to incorporate the impact of investor behavior when modeling the dynamics of asset returns. In this paper, we reconcile behavioral finance and rational finance by incorporating investor behavior within the framework of…
The t copula is often used in risk management as it allows for modelling tail dependence between risks and it is simple to simulate and calibrate. However, the use of a standard t copula is often criticized due to its restriction of having…
This paper introduces a novel approach to addressing uncertainty and associated risks in power system management, focusing on the discrepancies between forecasted and actual values of load demand and renewable power generation. By employing…
Difference-in-Differences (DID) research designs usually rely on variation of treatment timing such that, after making an appropriate parallel trends assumption, one can identify, estimate, and make inference about causal effects. In…
Experimentation platforms in industry must often deal with customer trust issues. Platforms must prove the validity of their claims as well as catch issues that arise. As a central quantity estimated by experimentation platforms, the…
This paper develops and implements a nonparametric test of Random Utility Models. The motivating application is to test the null hypothesis that a sample of cross-sectional demand distributions was generated by a population of rational…
In classical Markov Decision Processes (MDPs), action costs and transition probabilities are assumed to be known, although an accurate estimation of these parameters is often not possible in practice. This study addresses MDPs under cost…
Existing approaches to asset-pricing under model-uncertainty adapt classical utility-maximization frameworks and seek theoretical comprehensiveness. We move toward practice by considering binary model-risks and by emphasizing 'constraints'…
We study estimation of a multivariate function $f:{\bf R}^d \to {\bf R}$ when the observations are available from function $Af$, where $A$ is a known linear operator. Both the Gaussian white noise model and density estimation are studied.…
In this paper, we solve the multiple product price optimization problem under interval uncertainties of the price sensitivity parameters in the demand function. The objective of the price optimization problem is to maximize the overall…
We study the sensitivity of the expected utility maximization problem in a continuous semi-martingale market with respect to small changes in the market price of risk. Assuming that the preferences of a rational economic agent are modeled…
An investor's risk aversion is assumed to tend to infinity. In a fairly general setting, we present conditions ensuring that the respective utility indifference prices of a given contingent claim converge to its super replication price.