Related papers: Outside options and risk attitude
This article examines the effect of different other-regarding preference types on the emergence of altruistic punishment behavior from an evolutionary perspective. Our findings corroborate, complement, and interlink the experimental and…
Strong empirical evidence from laboratory experiments, and more recently from population surveys, shows that individuals, when evaluating their situations, pay attention to whether they experience gains or losses, with losses weighing more…
Spectral risk measures are attractive risk measures as they allow the user to obtain risk measures that reflect their risk-aversion functions. To date there has been very little guidance on the choice of risk-aversion functions underlying…
Consider an investor trading dynamically to maximize expected utility from terminal wealth. Our aim is to study the dependence between her risk aversion and the distribution of the optimal terminal payoff. Economic intuition suggests that…
Online learning has traditionally focused on the expected rewards. In this paper, a risk-averse online learning problem under the performance measure of the mean-variance of the rewards is studied. Both the bandit and full information…
A decision maker starts from a judgmental decision and moves to the closest boundary of the confidence interval. This statistical decision rule is admissible and does not perform worse than the judgmental decision with a probability equal…
This paper is concerned with the uniqueness issue of open-loop equilibrium investment strategies of dynamic mean-variance portfolio selection problems with random coefficients. A unified method is developed to treat both the problems with…
Is an option especially tempting when it is both immediate and certain? I test the effect of risk on the present-bias factor given quasi-hyperbolic discounting. In my experiment workers allocate about thirty to fifty minutes of real-effort…
We show that disentangling sentiment-induced biases from fundamental expectations significantly improves the accuracy and consistency of probabilistic forecasts. Using data from 1994 to 2017, we analyze 15 stochastic models and…
An analyst observes an agent take a sequence of actions. The analyst does not have access to the agent's information and ponders whether the observed actions could be justified through a rational Bayesian model with a known utility…
We present an historical overview about the connections between the analysis of risk and the control of autonomous systems. We offer two main contributions. Our first contribution is to propose three overlapping paradigms to classify the…
We present and analyze a mathematical model to study the feedback between behavior and epidemic spread in a population that is actively assessing and reacting to risk of infection. In our model, a population dynamically forms an opinion…
The behaviour of individuals is a main actor in the control of the spread of a communicable disease and, in turn, the spread of an infectious disease can trigger behavioural changes in a population. Here, we study the emergence of the…
In this paper, we aims to state some proprieties of willingness to pay (WTP) for partial risk reduction and links with insurance within the dual theory of decision. In the case of partial reduction, we get as Langlais (2005) that a…
Systemic risk in banking systems remains a crucial issue that it has not been completely understood. In our toy model, banks are exposed to two sources of risks, namely, market risk from their investments in assets external to the banking…
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…
We study the evolutionary dynamics of the prisoner's dilemma game in which cooperators and defectors interact with another actor type called exiters. Rather than being exploited by defectors, exiters exit the game in favour of a small…
In cybersecurity, attackers range from brash, unsophisticated script kiddies and cybercriminals to stealthy, patient advanced persistent threats. When modeling these attackers, we can observe that they demonstrate different risk-seeking and…
This paper studies a continuous-time portfolio selection problem under a general distribution of random risk aversion (RRA). We provide a complete characterization of all deterministic equilibrium strategies in closed form. Our results show…
Accurately modeling human decision-making in security is critical to thinking about when, why, and how to recommend that users adopt certain secure behaviors. In this work, we conduct behavioral economics experiments to model the…