Related papers: Gain-Loss Hedging and Cumulative Prospect Theory
This paper studies correlations among independently administered hypothetical tests of a simple interactive type, and demonstrates that correlations arising in quantum information theoretic variants of these tests can exhibit a striking…
Bi-capacities arise as a natural generalization of capacities (or fuzzy measures) in a context of decision making where underlying scales are bipolar. They are able to capture a wide variety of decision behaviours, encompassing models such…
We introduce a new concept called as the mutual uncertainty between two observables in a given quantum state which enjoys similar features like the mutual information for two random variables. Further, we define the conditional uncertainty…
The minority model was introduced to study the competition between agents with limited information. It has the remarkable feature that, as the amount of information available increases, the collective gain made by the agents is reduced.…
This paper introduces unit-specific heterogeneity in panel data threshold regression. We develop the asymptotic theory for models with heterogeneous thresholds, heterogeneous slope coefficients, and interactive fixed effects. The estimation…
Active consumer participation is seen as an integral part of the emerging smart grid. Examples include demand-side management programs, incorporation of consumer-owned energy storage or renewable energy units, and active energy trading.…
This paper considers the difference of stop-loss payoffs where the underlying is a difference of two random variables. The goal is to study whether the comonotonic and countermonotonic modifications of those two random variables can be used…
We introduce the notions of Collective Arbitrage and of Collective Super-replication in a discrete-time setting where agents are investing in their markets and are allowed to cooperate through exchanges. We accordingly establish versions of…
We present simple general conditions on the acceptance sets under which their induced monetary risk and deviation measures are comonotonic additive. We show that acceptance sets induce comonotonic additive risk measures if and only if the…
This paper is devoted to revealed preference theory and its applications to testing economic data for consistency with utility maximization hypothesis, construction of index numbers, and forecasting. The quantitative measures of…
We study strategic interactions between firms with heterogeneous beliefs about future climate impacts. To that end, we propose a Cournot-type equilibrium model where firms choose mitigation efforts and production quantities such as to…
Although the CML (Capital Market Line), the Intertemporal-CAPM, the CAPM/SML (Security Market Line) and the Intertemporal Arbitrage Pricing Theory (IAPT) are widely used in portfolio management, valuation and capital markets financing;…
Participatory budgeting refers to the practice of allocating public resources by collecting and aggregating individual preferences. Most existing studies in this field often assume an additive utility function, where each individual holds a…
We investigate upper and lower hedging prices of multivariate contingent claims from the viewpoint of game-theoretic probability and submodularity. By considering a game between "Market" and "Investor" in discrete time, the pricing problem…
This paper studies learning in markets with aggregate uncertainty about whether trade is efficient. A long-lived seller offers prices to buyers, who are short-lived and arrive according to a Poisson process. A hidden state determines…
Contraction theory is a mathematical framework for studying the convergence, robustness, and modularity properties of dynamical systems and algorithms. In this opinion paper, we provide five main opinions on the virtues of contraction…
In type-and-coeffect systems, contexts are enriched by coeffects modeling how they are actually used, typically through annotations on single variables. Coeffects are computed bottom-up, combining, for each term, the coeffects of its…
We revisit the classical Merton consumption--investment problem when risky-asset returns are modeled by stochastic differential equations interpreted through a general $\alpha$-integral, interpolating between It\^{o}, Stratonovich, and…
Coupled cluster theory is the method of choice for weakly correlated systems. But in the strongly correlated regime, it faces a symmetry dilemma, where it either completely fails to describe the system, or has to artificially break certain…
The generative aspect model is an extension of the multinomial model for text that allows word probabilities to vary stochastically across documents. Previous results with aspect models have been promising, but hindered by the computational…