Related papers: A Prudent Framework for Understanding Risk-Awarene…

The construction of an efficient portfolio with a good level of return and minimal risk depends on selecting the optimal combination of stocks. This paper introduces a novel decision-making framework for stock selection based on fractional…

The article's aim is to provide a solution to the equity premium puzzle with a derived model. The derived model which depends on Consumption Capital Asset Pricing Model gives a solution to the puzzle with the values of coefficient of…

Customer loyalty is crucial for internet services since retaining users of a service to ensure the staying time of the service is of significance for increasing revenue. It demands the retention of customers to be high enough to meet the…

We derive a family of risk-sensitive reinforcement learning methods for agents, who face sequential decision-making tasks in uncertain environments. By applying a utility function to the temporal difference (TD) error, nonlinear…

Classical reinforcement learning (RL) techniques are generally concerned with the design of decision-making policies driven by the maximisation of the expected outcome. Nevertheless, this approach does not take into consideration the…

Despite the success of demand response programs in retail electricity markets in reducing average consumption, the random responsiveness of consumers to price event makes their efficiency questionable to achieve the flexibility needed for…

We consider the worst-case expectation of a permutation invariant ambiguity set of discrete distributions as a proxy-cost for data-driven expected risk minimization. For this framework, we coin the term ordered risk minimization to…

Using Trades and Quotes data from the Paris stock market, we show that the random walk nature of traded prices results from a very delicate interplay between two opposite tendencies: long-range correlated market orders that lead to…

This paper studies optimal insurance design under asymmetric information in a Stackelberg framework, where a monopolistic insurer faces uncertainty about both the insured's risk attitude, captured by a risk-aversion parameter, and the…

To determine the welfare implications of price changes in demand data, we introduce a revealed preference relation over prices. We show that the absence of cycles in this relation characterizes a consumer who trades off the utility of…

We introduce a stochastic heterogeneous interacting-agent model for the short-time non-equilibrium evolution of excess demand and price in a stylized asset market. We consider a combination of social interaction within peer groups and…

We construct an utility-based dynamic asset pricing model for a limit order market. The price is nonlinear in volume and subject to market impact. We solve an optimal hedging problem under the market impact and derive the dynamics of the…

Behavior of systems that are functions of anticipated behavior of other systems, whose own behavior is also anticipatory but homeostatic and determined by hierarchical ordering, which changes over time, of sets of possible environments that…

In societal-scale infrastructures, such as electric grids or transportation networks, pricing mechanisms are often used as a way to shape users' demand in order to lower operating costs and improve reliability. Existing approaches to…

Demand-side response programs which also called Demand Response (DR) are interesting ways to attract consumers' participation in order to improve electric consumption patterns. DR programs motivate customers to change consumption patterns…

Performative prediction, as introduced by Perdomo et al, is a framework for studying social prediction in which the data distribution itself changes in response to the deployment of a model. Existing work in this field usually hinges on…

Sequential decisions in volatile, high-stakes settings require more than maximizing expected return; they require principled uncertainty management. This paper presents the Uncertainty-Aware Markov Decision Process (UAMDP), a unified…

The policy gradients of the expected return objective can react slowly to rare rewards. Yet, in some cases agents may wish to emphasize the low or high returns regardless of their probability. Borrowing from the economics and control…

We investigate a framework for robo-advisors to estimate non-expert clients' risk aversion using adaptive binary-choice questionnaires. We model risk aversion using cost functions and spectral risk measures in a static setting. We prove the…

In real-world decision-making problems, for instance in the fields of finance, robotics or autonomous driving, keeping uncertainty under control is as important as maximizing expected returns. Risk aversion has been addressed in the…