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

We study the problem of learning shared structure \emph{across} a sequence of dynamic pricing experiments for related products. We consider a practical formulation where the unknown demand parameters for each product come from an unknown…

This article's aim is to provide the solution to the equity premium puzzle without using calibrated values. Calibrated values of subjective time discount factor were used in my prior derived models because 4 variables were determined from 3…

We consider the optimal investment and marginal utility pricing problem of a risk averse agent and quantify their exposure to a small amount of model uncertainty. Specifically, we compute explicitly the first-order sensitivity of their…

Distributional reinforcement learning (RL) is a powerful framework increasingly adopted in safety-critical domains for its ability to optimize risk-sensitive objectives. However, the role of the discount factor is often overlooked, as it is…

In this paper, we present a unified framework for decision making under uncertainty. Our framework is based on the composite of two risk measures, where the inner risk measure accounts for the risk of decision given the exact distribution…

We study risk-aware linear policy approximations for the optimal operation of an energy system with stochastic wind power, storage, and limited fuel. The resulting problem is a sequential decision-making problem with rolling forecasts. In…

This paper proposes a novel method for demand forecasting in a pricing context. Here, modeling the causal relationship between price as an input variable to demand is crucial because retailers aim to set prices in a (profit) optimal manner…

This paper studies how violations of structural assumptions like expected utility and exponential discounting can be connected to basic rationality violations, even though these assumptions are typically regarded as independent building…

Roy's `Safety First' criterion for selecting one risky asset from many is adapted to the case of non-normal returns, via Cornish Fisher expansion. The resulting investment objective is consistent with first order stochastic dominance, and…

This paper studies how uncertainty about problem difficulty shapes problem-solving strategies. I develop a dynamic model where an agent solves a problem by brainstorming approaches of unknown quality and allocating a fixed effort budget…

We introduce a simple framework in which market participants update their prior about an efficient price with a model-based learning process. We show that exponential intensities for the arrival of aggressive orders arise naturally in this…

Experiments on decision making under uncertainty are known to display a classical pattern of risk aversion and risk seeking referred to as "fourfold pattern" (or "reflection effect") , but recent experiments varying the speed and order of…

In responding to rating questions, an individual may give answers either according to his/her knowledge/awareness or to his/her level of indecision/uncertainty, typically driven by a response style. As ignoring this dual behaviour may lead…

We deal with the convergence of the value function of an approximate control problem with uncertain dynamics to the value function of a nonlinear optimal control problem. The assumptions on the dynamics and the costs are rather general and…

Understanding and predicting the electricity demand responses to prices are critical activities for system operators, retailers, and regulators. While conventional machine learning and time series analyses have been adequate for the routine…

This paper proposes risk-averse and risk-agnostic formulations to robust design in which solutions that satisfy the system requirements for a set of scenarios are pursued. These scenarios, which correspond to realizations of uncertain…

This paper studies the pricing of contingent claims of American style, using indifference pricing by fully dynamic convex risk measures. We provide a general definition of risk-indifference prices for buyers and sellers in continuous time,…

Decisions are often based on imprecise, uncertain or vague information. Likewise, the consequences of an action are often equally unpredictable, thus putting the decision maker into a twofold jeopardy. Assuming that the effects of an action…

Decision-making pipelines are generally characterized by tradeoffs among various risk functions. It is often desirable to manage such tradeoffs in a data-adaptive manner. As we demonstrate, if this is done naively, state-of-the art…

This paper describes an approach to economics that is inspired by quantum computing, and is motivated by the need to develop a consistent quantum mathematical framework for economics. The traditional neoclassical approach assumes that…