Related papers: Utility-based acceptability indices
We provide a new algorithm for solving Risk Sensitive Partially Observable Markov Decisions Processes, when the risk is modeled by a utility function, and both the state space and the space of observations is finite. This algorithm is based…
Utility Computing has facilitated the creation of new markets that has made it possible to realize the long held dream of delivering IT as a Utility. Even though utility computing is in its nascent stage today, the proponents of utility…
We consider a discrete-time model of a financial market where a risky asset is bought and sold with transactions having a transient price impact. It is shown that the corresponding utility maximization problem admits a solution. We manage…
This paper proposes an expected multivariate utility analysis for ESG investors in which green stocks, brown stocks, and a market index are modeled in a one-factor, CAPM-type structure. This setting allows investors to accommodate their…
To benefit from utility-driven and rule-based approaches to self-adaptation, we propose combining both by defining and linking the utility function and the adaptation rules in a pattern-based way at the architectural level.
In this paper, using the shrinkage-based approach for portfolio weights and modern results from random matrix theory we construct an effective procedure for testing the efficiency of the expected utility (EU) portfolio and discuss the…
We adress the maximization problem of expected utility from terminal wealth. The special feature of this paper is that we consider a financial market where the price process of risky assets can have a default time. Using dynamic…
This paper mainly focuses on the utilization frequency in receiving end of communication systems, which shows the inclination of the user about different symbols. When the average number of use is limited, a specific utility distribution is…
We introduce a new interpretation of two related notions - conditional utility and utility independence. Unlike the traditional interpretation, the new interpretation renders the notions the direct analogues of their probabilistic…
Recent advances in probabilistic modelling have led to a large number of simulation-based inference algorithms which do not require numerical evaluation of likelihoods. However, a public benchmark with appropriate performance metrics for…
It is shown that the axioms for coherent risk measures imply that whenever there is an asset in a portfolio that dominates the others in a given sample (which happens with finite probability even for large samples), then this portfolio…
In the general framework of a semimartingale financial model and a utility function $U$ defined on the positive real line, we compute the first-order expansion of marginal utility-based prices with respect to a ``small'' number of random…
This paper introduces a novel stochastic control framework to enhance the capabilities of automated investment managers, or robo-advisors, by accurately inferring clients' investment preferences from past activities. Our approach leverages…
In this paper, we study the portfolio optimization problem with general utility functions and when the return and volatility of underlying asset are slowly varying. An asymptotic optimal strategy is provided within a specific class of…
Equity premium, the surplus returns of stocks over bonds, has been an enduring puzzle. While numerous prior works approach the problem assuming the utility of money is invariant across contexts, our approach implies that in efficient…
In cases of uncertainty, a multi-class classifier preferably returns a set of candidate classes instead of predicting a single class label with little guarantee. More precisely, the classifier should strive for an optimal balance between…
In this paper, different approaches to portfolio optimization having higher moments such as skewness and kurtosis are classified so that the reader can observe different paradigms and approaches in this field of research which is essential…
In this work we introduce an open source suite of quantum application-oriented performance benchmarks that is designed to measure the effectiveness of quantum computing hardware at executing quantum applications. These benchmarks probe a…
Under mean-variance-utility framework, we propose a new portfolio selection model, which allows wealth and time both have influences on risk aversion in the process of investment. We solved the model under a game theoretic framework and…
This paper provides an introduction to structural estimation methods for matching markets with transferable utility.