Related papers: Utility-based acceptability indices
In portfolio optimization, decision makers face difficulties from uncertainties inherent in real-world scenarios. These uncertainties significantly influence portfolio outcomes in both classical and multi-objective Markowitz models. To…
Uncertainty is prevalent in engineering design, data-driven problems, and decision making broadly. Due to inherent risk-averseness and ambiguity about assumptions, it is common to address uncertainty by formulating and solving conservative…
Robustness is often regarded as a critical future challenge for real-world applications, where stability is essential. However, as models often learn tasks in a similar order, we hypothesize that easier tasks will be easier regardless of…
Usability is a key quality attribute of successful software systems. Unfortunately, there is no common understanding of the factors influencing usability and their interrelations. Hence, the lack of a comprehensive basis for designing,…
We consider methods for aggregating preferences that are based on the resolution of discrete optimization problems. The preferences are represented by arbitrary binary relations (possibly weighted) or incomplete paired comparison matrices.…
We extend Relative Robust Portfolio Optimisation models to allow portfolios to optimise their distance to a set of benchmarks. Portfolio managers are also given the option of computing regret in a way which is more in line with market…
This paper develops a unified framework for evaluating health outcomes that jointly incorporates equity and productivity. Extending beyond traditional QALYs, PALYs, and the more recent PQALYs, we introduce a broader class of evaluation…
With the recent increase in the quantity of high fidelity games appearing on mobile devices and the recent trend of gaming focused mobile devices, there is a new requirement for a clear and comprehensive measure of the quality of gaming…
We propose a portfolio approach for operational risk quantification based on a class of analytical models from which we derive new results on the correlation problem. In particular, we show that uniform correlation is a robust assumption…
The problem of portfolio optimization when stochastic factors drive returns and volatilities has been studied in previous works by the authors. In particular, they proposed asymptotic approximations for value functions and optimal…
We consider the problem of choosing a portfolio that maximizes the cumulative prospect theory (CPT) utility on an empirical distribution of asset returns. We show that while CPT utility is not a concave function of the portfolio weights, it…
Ranking entities such as algorithms, devices, methods, or models based on their performances, while accounting for application-specific preferences, is a challenge. To address this challenge, we establish the foundations of a universal…
Swarms have distributed control and so are assumed to inherently have superior robustness, scalability and adaptability compared to centralised multi-agent systems. However, these features have generally only been defined qualitatively and…
Decision theory has become widely accepted in the AI community as a useful framework for planning and decision making. Applying the framework typically requires elicitation of some form of probability and utility information. While much…
We propose a holistic framework for constructing sensitivity measures for any elicitable functional $T$ of a response variable. The sensitivity measures, termed score-based sensitivities, are constructed via scoring functions that are…
This paper introduces the RUMBoost model, a novel discrete choice modelling approach that combines the interpretability and behavioural robustness of Random Utility Models (RUMs) with the generalisation and predictive ability of deep…
Critical infrastructure systems must be both robust and resilient in order to ensure the functioning of society. To improve the performance of such systems, we often use risk and vulnerability analysis to find and address system weaknesses.…
We review the recently introduced concept of variety of a financial portfolio and we sketch its importance for risk control purposes. The empirical behaviour of variety, correlation, exceedance correlation and asymmetry of the probability…
Randomized controlled experiments assess new policy impacts on performance metrics to inform launch decisions. Traditional approaches evaluate metrics independently despite correlations, and mixed results (e.g., positive revenue impact,…
In this paper we have devised an alternative methodological approach for quantifying utility in terms of expected information content of the decision-maker's choice set. We have proposed an extension to the concept of utility by…