Related papers: Disappointment Aversion and Expectiles
In this paper, we build a new test of rational expectations based on the marginal distributions of realizations and subjective beliefs. This test is widely applicable, including in the common situation where realizations and beliefs are…
Expectile bears some interesting properties in comparison to the industry wide expected shortfall in terms of assessment of tail risk. We study the relationship between expectile and expected shortfall using duality results and the link to…
Many models of economics assume that individuals distort objective probabilities. We propose a simple consistency condition on distortion functions, which we term distortion coherence, that ensures that the function commutes with…
A very general calculational strategy is applied to the evaluation of the divergent physical amplitudes which are typical of perturbative calculations. With this approach in the final results all the intrinsic arbitrariness of the…
To interpret uncertainty estimates from differentiable probabilistic models, recent work has proposed generating a single Counterfactual Latent Uncertainty Explanation (CLUE) for a given data point where the model is uncertain, identifying…
We consider a discrete time analog of $G$--expectations and we prove that in the case where the time step goes to 0 the corresponding values converge to the original $G$--expectation. Furthermore we provide error estimates for the…
Aggregating risks from multiple sources can be complex and demanding, and decision makers usually adopt heuristics to simplify the evaluation process. This paper axiomatizes two closed related and yet different heuristics, narrow bracketing…
Inspired by the recent literature on aggregation theory, we aim at relating the long range correlation of the stocks return volatility to the heterogeneity of the investors' expectations about the level of the future volatility. Based on a…
This paper describes a fundamental and empirically conspicuous problem inherent to surveys of human feelings and opinions in which subjective responses are elicited on numerical scales. The paper also proposes a solution. The problem is a…
The {\it gauge hierarchy problem} found in perturbation theory is one of the main attractions for supersymmetry. Yet the quantum mechanical coupling of a low energy system to a high energy one invariably leads to {\it perturbative…
In [7], Donovan and Wemyss introduced the contraction algebra of flop- ping curves in 3-folds. When the flopping curve is smooth and irreducible, we prove that the contraction algebra together with its A_\infty-structure recovers various…
In [1] we presented a model for transactions when goods are given away in the expectation of a later settlement. In settings where people keep track of their social accounts we were able to redefine concepts like account balance, yield…
The main purpose of this paper is to correct an error in the previously submitted version [*] := arXiv:2004.13749v1. [*] had been already accepted for publication in a scientific journal, but withdrawn by the author after the discovery of…
Inverse statistics in economics is considered. We argue that the natural candidate for such statistics is the investment horizons distribution. This distribution of waiting times needed to achieve a predefined level of return is obtained…
This article focuses on the work of O. Chanel and G. Chichilnisky (2013) on the flaws of expected utility theory while assessing the value of life. Expected utility is a fundamental tool in decision theory. However, it does not fit with the…
The estimation of the extremal dependence structure is spoiled by the impact of the bias, which increases with the number of observations used for the estimation. Already known in the univariate setting, the bias correction procedure is…
When data is collected in an adaptive manner, even simple methods like ordinary least squares can exhibit non-normal asymptotic behavior. As an undesirable consequence, hypothesis tests and confidence intervals based on asymptotic normality…
While explainability is a desirable characteristic of increasingly complex black-box models, modern explanation methods have been shown to be inconsistent and contradictory. The semantics of explanations is not always fully understood - to…
The perturbation theory with a variational basis is constructed and analyzed.The generalized Gaussian effective potential is introduced and evaluated up to the second order for selfinteracting scalar fields in one and two spatial…
An unconventional approach for optimal stopping under model ambiguity is introduced. Besides ambiguity itself, we take into account how ambiguity-averse an agent is. This inclusion of ambiguity attitude, via an $\alpha$-maxmin nonlinear…