Related papers: Utility-based acceptability indices
We study the problem of optimal long term portfolio selection with a view to beat a benchmark. Two kinds of objectives are considered. One concerns the probability of outperforming the benchmark and seeks either to minimise the decay rate…
The main objective of the paper is to establish explicit estimates on some applicable inequalities in two variables on time scales which can be used in the study of certain qualitative properties of dynamical equations on time scales.
Quantile-based classifiers can classify high-dimensional observations by minimising a discrepancy of an observation to a class based on suitable quantiles of the within-class distributions, corresponding to a unique percentage for all…
We address the problem of portfolio optimization under the simplest coherent risk measure, i.e. the expected shortfall. As it is well known, one can map this problem into a linear programming setting. For some values of the external…
We obtain a full characterization of consistency with respect to higher-order stochastic dominance within the rank-dependent utility model. Different from the results in the literature, we do not assume any condition on the utility…
When the experimental objective is expressed by a set of estimable functions, and any eigenvalue-based optimality criterion is selected, we prove the equivalence of the recently introduced weighted optimality and the 'standard' optimality…
This paper investigates a time-inconsistent portfolio selection problem in the incomplete mar ket model, integrating expected utility maximization with risk control. The objective functional balances the expected utility and variance on log…
The gain-loss ratio is known to enjoy very good properties from a normative point of view. As a confirmation, we show that the best market gain-loss ratio in the presence of a random endowment is an acceptability index and we provide its…
A key issue in the estimation of energy hedges is the hedgers' attitude towards risk which is encapsulated in the form of the hedgers' utility function. However, the literature typically uses only one form of utility function such as the…
Classifiers with rejection are essential in real-world applications where misclassifications and their effects are critical. However, if no problem specific cost function is defined, there are no established measures to assess the…
Motivated by recent axiomatic developments, we study the risk- and ambiguity-averse investment problem where trading takes place over a fixed finite horizon and terminal payoffs are evaluated according to a criterion defined in terms of a…
Stochastic optimization problems often involve the expectation in its objective. When risk is incorporated in the problem description as well, then risk measures have to be involved in addition to quantify the acceptable risk, often in the…
Benchmarks for the evaluation of model performance play an important role in machine learning. However, there is no established way to describe and create new benchmarks. What is more, the most common benchmarks use performance measures…
Fairness in decision-making processes is often quantified using probabilistic metrics. However, these metrics may not fully capture the real-world consequences of unfairness. In this article, we adopt a utility-based approach to more…
In this work, we explore the possibility of utilizing transfer learning techniques to address the financial portfolio optimization problem. We introduce a novel concept called "transfer risk", within the optimization framework of transfer…
Obtaining utility maximizing optimal portfolios in closed form is a challenging issue when the return vector follows a more general distribution than the normal one. In this note, we give closed form expressions, in markets based on…
We formulate conditions for the solvability of the problem of robust utility maximization from final wealth in continuous time financial markets, without assuming weak compactness of the densities of the uncertainty set, as customary in the…
We study mean-risk optimal portfolio problems where risk is measured by Recovery Average Value at Risk, a prominent example in the class of recovery risk measures. We establish existence results in the situation where the joint distribution…
We say a model is continuous in utilities (resp., preferences) if small perturbations of utility functions (resp., preferences) generate small changes in the model's outputs. While similar, these two questions are different. They are only…
Under the assumption of (positive) homogeneity (PH in the sequel) of the corresponding utility functions, we construct polynomial time algorithms for the weak separability, the collective consumption behavior and some related problems.…