Related papers: Disappointment Aversion and Expectiles
This study develops an inverse portfolio optimization framework for recovering latent investor preferences including risk aversion, transaction cost sensitivity, and ESG orientation from observed portfolio allocations. Using controlled…
This paper reviews a line of work on decaying turbulence that began with loop equations and culminated in the Euler ensemble as a candidate statistical attractor. Most observable predictions discussed here-including the decay law, velocity…
We identify and correct an error in the paper "Excess Optimism: How Biased is the Apparent Error of an Estimator Tuned by SURE?" This correction allows new guarantees on the excess degrees of freedom--the bias in the error estimate of…
In adaptive data analysis, the user makes a sequence of queries on the data, where at each step the choice of query may depend on the results in previous steps. The releases are often randomized in order to reduce overfitting for such…
Why do organizations comprised of intelligent individuals converge on collective delusion? This paper introduces dysmemic pressure as a formal mechanism explaining organizational epistemic failure. Synthesizing strategic communication…
We study the pricing and hedging of derivative securities with uncertainty about the volatility of the underlying asset. Rather than taking all models from a prespecified class equally seriously, we penalise less plausible ones based on…
In this paper, we investigate risk minimization problem of derivatives based on non-tradable underlyings by means of dynamic g-expectations which are slight different from conditional g-expectations. In this framework, inspired by [1] and…
We provide an elementary proof of the dual representation of Expected Shortfall on the space of integrable random variables over a general probability space. Unlike the results in the extant literature, our proof only exploits basic…
Negative probability has found diverse applications in theoretical physics. Thus, construction of sound and rigorous mathematical foundations for negative probability is important for physics. There are different axiomatizations of…
Expectile regression is a nice tool for investigating conditional distributions beyond the conditional mean. It is well-known that expectiles can be described with the help of the asymmetric least square loss function, and this link makes…
We show in a simulation when economic agents are subject to evolution (random change and selection based on the success in the estimation of the result of the gamble) they acquire risk aversive behavior. This behavior appears in the form of…
We formally prove the existence of an enduring incongruence pervading a widespread interpretation of the Bell inequality and explain how to rationally avoid it with a natural assumption justified by explicit reference to a mathematical…
This paper introduces forward-looking measures of the network connectedness of fears in the financial system, arising due to the good and bad beliefs of market participants about uncertainty that spreads unequally across a network of banks.…
When it is acknowledged that all candidate parameterised statistical models are misspecified relative to the data generating process, the decision maker (DM) must currently concern themselves with inference for the parameter value…
The Duggan-Schwartz theorem (Duggan and Schwartz, 1992) is a famous result concerning strategy-proof social choice correspondences, often stated as "A social choice correspondence that can be manipulated by neither an optimist nor a…
This paper is devoted to the proof Gauss' divergence theorem in the framework of "ultrafunctions". They are a new kind of generalized functions, which have been introduced recently [2] and developed in [4], [5] and [6]. Their peculiarity is…
The new field of adaptive data analysis seeks to provide algorithms and provable guarantees for models of machine learning that allow researchers to reuse their data, which normally falls outside of the usual statistical paradigm of static…
We study belief revision when information is represented by a set of probability distributions, or general information. General information extends the standard event notion while including qualitative information (A is more likely than B),…
To provide a comprehensive summary of the tail distribution, the expected shortfall is defined as the average over the tail above (or below) a certain quantile of the distribution. The expected shortfall regression captures the…
In this work, we develop a Lagrangian reduction theory for covariant field theories with gauge symmetries. These symmetries are modeled by a Lie group fiber bundle acting fiberwisely on a configuration bundle. In order to reduce the…