Related papers: Disappointment Aversion and Expectiles
This paper considers a newly delayed reinsurance and investment optimization problem incorporating random risk aversion, in which an insurer pursues maximization of the expected certainty equivalent of her/his terminal wealth and the…
In economics, risk aversion is modeled via a concave Bernoulli utility within the expected-utility paradigm. We propose a simple test of expected utility and concavity. We find little support for either: only 30 percent of the choices are…
Singular perturbation theory plays a central role in the approximate solution of nonlinear differential equations. However, applying these methods is a subtle art owing to the lack of globally applicable algorithms. Inspired by the fact…
This paper discusses an alternative explanation for the empirical findings contradicting the positive relationship between risk (variance) and reward (expected return). We show that these contradicting results might be due to the false…
Shallow permutations were defined in 1977 to be those that satisfy the lower bound of the Diaconis-Graham inequality. Recently, there has been renewed interest in these permutations. In particular, Berman and Tenner showed they satisfy…
We consider the problem of removing the divergences in an arbitrary gauge-field theory (possibly nonrenormalizable). We show that this can be achieved by performing, order by order in the loop expansion, a redefinition of some parameters…
Expectile, first introduced by Newey and Powell (1987) in the econometrics literature, has recently become increasingly popular in risk management and capital allocation for financial institutions due to its desirable properties such as…
The univariate extreme value theory deals with the convergence in type of powers of elements of sequences of cumulative distribution functions on the real line when the power index gets infinite. In terms of convergence of random variables,…
Marginal expected shortfall is unquestionably one of the most popular systemic risk measures. Studying its extreme behaviour is particularly relevant for risk protection against severe global financial market downturns. In this context,…
Black hole perturbation theory beyond second order is not well understood because typically one defines the meaning of gauge invariance order by order which is ambiguous. In this series of works we therefore developed a new approach which…
We develop an experimentally validated, short and easy-to-use survey module for measuring individual debt aversion. To this end, we first estimate debt aversion on an individual level, using choice data from Meissner and Albrecht (2022).…
We introduce the concept of general gauge theory which includes Yang-Mills models. In the framework of the causal approach and show that the anomalies can appear only in the vacuum sector of the identities obtained from the gauge invariance…
We investigate a Kyle model under Gaussian assumptions where a risk-averse informed trader has imperfect information on the fundamental price of an asset. We show that an equilibrium can be constructed by considering an optimal transport…
The AGI alignment problem has a bimodal distribution of outcomes with most outcomes clustering around the poles of total success and existential, catastrophic failure. Consequently, attempts to solve AGI alignment should, all else equal,…
Sliced inverse regression (Duan and Li [Ann. Statist. 19 (1991) 505-530], Li [J. Amer. Statist. Assoc. 86 (1991) 316-342]) is an appealing dimension reduction method for regression models with multivariate covariates. It has been extended…
We introduce a new cost function over experiments, f-information, based on the theory of multivariate statistical divergences, that generalizes Sims's classic model of rational inattention as well as the class of posterior-separable cost…
We have two aims. The main one is to expound the idea of renormalization in quantum field theory, with no technical prerequisites (Sections 2 and 3). Our motivation is that renormalization is undoubtedly one of the great ideas, and great…
Expected Shortfall (ES), also known as superquantile or Conditional Value-at-Risk, has been recognized as an important measure in risk analysis and stochastic optimization, and is also finding applications beyond these areas. In finance, it…
This paper provides a formal econometric framework behind the newly developed difference-in-discontinuities design (DiDC). Despite its increasing use in applied research, there are currently limited studies of its properties. We formalize…
Disagreement is an essential element of science and life in general. The language of probabilities and statistics is often used to describe disagreements quantitatively. In practice, however, we want much more than that. We want…