Related papers: Utility-based acceptability indices
Indices of acceptability are well suited to frame the axiomatic features of many performance measures, associated to terminal random cash flows.We extend this notion to classes of c\`adl\`ag processes modelling cash flows over a fixed…
We extend well-known comparative results under expected utility to models of non-expected utility by providing novel conditions on local utility functions. We illustrate how our results parallel, and are distinct from, existing results for…
We derive new results related to the portfolio choice problem for power and logarithmic utilities. Assuming that the portfolio returns follow an approximate log-normal distribution, the closed-form expressions of the optimal portfolio…
The term "performance portability" has been informally used in computing to refer to a variety of notions which generally include: 1) the ability to run one application across multiple hardware platforms; and 2) achieving some notional…
When dealing with control systems, it is useful and even necessary to assess the performance of underlying transfer functions. The functions may or may not be linear, may or may not be even monotonic. In addition, they may have structural…
Benchmarking has long served as a foundational practice in machine learning and, increasingly, in modern AI systems such as large language models, where shared tasks, metrics, and leaderboards offer a common basis for measuring progress and…
A dynamic model of collective consumption and saving decisions made by a finite number of agents with constant but different discount rates is developed. Collective utility is a weighted sum of individual utilities with time-varying utility…
In regression analysis, associations between continuous predictors and the outcome are often assumed to be linear. However, modeling the associations as non-linear can improve model fit. Many flexible modeling techniques, like (fractional)…
We propose a new class of mappings, called Dynamic Limit Growth Indices, that are designed to measure the long-run performance of a financial portfolio in discrete time setup. We study various important properties for this new class of…
This article presents a pragmatic framework for making formal, utility-based decisions from statistical inferences. The method calculates an expected utility score for an intervention by combining Bayesian posterior probabilities of…
In the seminal work [9], several macroscopic market observables have been introduced, in an attempt to find characteristics capturing the diversity of a financial market. Despite the crucial importance of such observables for investment…
The choice of admissible trading strategies in mathematical modelling of financial markets is a delicate issue, going back to Harrison and Kreps (1979). In the context of optimal portfolio selection with expected utility preferences this…
We investigate the application of classification techniques to utility elicitation. In a decision problem, two sets of parameters must generally be elicited: the probabilities and the utilities. While the prior and conditional probabilities…
In the recent years it can be observed increasing popularity of parallel processing using multi-core processors, local clusters, GPU and others. Moreover, currently one of the main requirements the IT users is the reduction of maintaining…
This paper proposes a simulation-based framework for assessing and improving the performance of a pension fund management scheme. This framework is modular and allows the definition of customized performance metrics that are used to assess…
How should well-being be prioritised in society, and what trade-offs are people willing to make between fairness and personal well-being? We investigate these questions using a stated preference experiment with a nationally representative…
A classical portfolio theory deals with finding the optimal proportion in which an agent invests a wealth in a risk-free asset and a probabilistic risky asset. Formulating and solving the problem depend on how the risk is represented and…
This work derives an approximate analytical single period solution of the portfolio choice problem for the power utility function. It is possible to do so if we consider that the asset returns follow a multivariate normal distribution. It…
Quantifying the "capability" of a manufacturing process is an important initial step in any quality improvement program. Capability is usually defined in dictionaries as "the ability to carry out a task, to achieve an objective". Process…
Interest has been growing in decision-focused machine learning methods which train models to account for how their predictions are used in downstream optimization problems. Doing so can often improve performance on subsequent decision…