Related papers: The indifference value of the weak information
We initiate an investigation how the fundamental concept of independence can be represented effectively in the presence of incomplete information in relational databases. The concepts of possible and certain independence are proposed, and…
We consider the pricing problem facing a seller of a contingent claim. We assume that this seller has some general level of partial information, and that he is not allowed to sell short in certain assets. This pricing problem, which is our…
We introduce an information order on experiments based on weighted garbling, a generalization of the standard notion of garbling. In this order, an experiment is more informative than another if the latter is a weighted garbling of the…
We study the superreplication of contingent claims under model uncertainty in discrete time. We show that optimal superreplicating strategies exist in a general measure-theoretic setting; moreover, we characterize the minimal…
Non-deductive reasoning systems are often {\em representation dependent}: representing the same situation in two different ways may cause such a system to return two different answers. Some have viewed this as a significant problem. For…
The question of pricing and hedging a given contingent claim has a unique solution in a complete market framework. When some incompleteness is introduced, the problem becomes however more difficult. Several approaches have been adopted in…
We consider a class of generalized capital asset pricing models in continuous time with a finite number of agents and tradable securities. The securities may not be sufficient to span all sources of uncertainty. If the agents have…
We study a single-buyer pricing problem with unreliable side information, motivated by the increasing use of AI-assisted decision-making and LLM-based predictions. The seller observes a private sample that may be either accurate (coinciding…
We introduce information-theoretic definitions for noise and disturbance in quantum measurements and prove a state-independent noise-disturbance tradeoff relation that these quantities have to satisfy in any conceivable setup. Contrary to…
We show how to quantify the optimal tradeoff between the amount of information retrieved by a quantum measurement in estimating an unknown spin coherent state and the disturbance on the state itself, and how to derive the corresponding…
We develop a novel framework for costly information acquisition in which a decision-maker learns about an unobserved state by choosing a signal distribution, with the cost of information determined by the distribution of noise in the…
We study the problem of fairly allocating indivisible goods to agents in an online setting, where goods arrive sequentially and must be allocated irrevocably. Focusing on the popular fairness notions of envy-freeness, proportionality, and…
This paper considers exponential utility indifference pricing for a multidimensional non-traded assets model subject to inter-temporal default risk, and provides a semigroup approximation for the utility indifference price. The key tool is…
In this paper we study the pricing and hedging of nonreplicable contingent claims, such as long-term insurance contracts like variable annuities. Our approach is based on the benchmark-neutral pricing framework of Platen (2024), which…
We consider the problem of exponential utility indifference valuation under the simplified framework where traded and nontraded assets are uncorrelated but where the claim to be priced possibly depends on both. Traded asset prices follow a…
Given a pair of predictor variables and a response variable, how much information do the predictors have about the response, and how is this information distributed between unique, redundant, and synergistic components? Recent work has…
We develop inference under model uncertainty due to weak, noisy, multiple candidate restrictions and theories, and nuisance control covariates. A unified framework is given with degrees of misspecification and corresponding shadow prices,…
Representations of data that are invariant to changes in specified factors are useful for a wide range of problems: removing potential biases in prediction problems, controlling the effects of covariates, and disentangling meaningful…
An explicit formula is derived for the value of weak information in a discrete time model that works for a wide range of utility functions including the logarithmic and power utility. We assume a complete market with a finite number of…
The invariant response was defined from a formulation of the fluctuation-response theorem in the space of probability distributions. An inequality is here conjectured which sets the mutual information as an upper bound to the invariant…