Related papers: Risk and Monotone Comparative Statics without Inde…
Stochastic comparisons of series and parallel systems are important in many areas of engineering, operations research and reliability analysis. These comparisons allow for the evaluation of the performance and reliability of systems under…
Linear combinations of independent random variables have been extensively studied in the literature. However, most of the work is based on some specific distribution assumptions. In this paper, a companion of (J. Appl. Probab. 48 (2011)…
We analyze characteristics' joint predictive information through the lens of out-of-sample power utility functions. Linking weights to characteristics to form optimal portfolios suffers from estimation error which we mitigate by maximizing…
In natural phenomena, data distributions often deviate from normality. One can think of cataclysms as a self-explanatory example: events that occur almost never, and at the same time are many standard deviations away from the common…
This paper considers utility indifference valuation of derivatives under model uncertainty and trading constraints, where the utility is formulated as an additive stochastic differential utility of both intertemporal consumption and…
We develop a generalized stability framework for stochastic discrete-time systems, where the generality pertains to the ways in which the distribution of the state energy can be characterized. We use tools from finance and operations…
We study a general class of consumption-savings problems with recursive preferences. We characterize the sign of the consumption response to arbitrary shocks in terms of the product of two sufficient statistics: the elasticity of…
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…
Monotone systems comprise an important class of dynamical systems that are of interest both for their wide applicability and because of their interesting mathematical properties. It is known that under the property of quasimonotonicity…
A variety of statistical graphical models have been defined to represent the conditional independences underlying a random vector of interest. Similarly, many different graphs embedding various types of preferential independences, as for…
Monotonicity and recursivity are central assumptions in intertemporal consumption problems under ambiguity. We show that monotone recursive preferences admit both a recursive and an ex-ante representation, and that the certainty equivalent…
In this paper we extend Savage's theory of decision-making under uncertainty from a classical environment into a non-classical one. We formulate the corresponding axioms and provide representation theorems for qualitative measures and…
In statistical research there usually exists a choice between structurally simpler or more complex models. We argue that, even if a more complex, locally stationary time series model were true, then a simple, stationary time series model…
This paper introduces a novel stochastic control framework to enhance the capabilities of automated investment managers, or robo-advisors, by accurately inferring clients' investment preferences from past activities. Our approach leverages…
This paper investigates a time-inconsistent portfolio selection problem in the incomplete mar ket model, integrating expected utility maximization with risk control. The objective functional balances the expected utility and variance on log…
We propose an axiomatic approach which economically underpins the representation of dynamic preferences in terms of a stochastic utility function, sensitive to the information available to the decision maker. Our construction is iterative…
A test of the null hypothesis that a hazard rate is monotone nondecreasing, versus the alternative that it is not, is proposed. Both the test statistic and the means of calibrating it are new. Unlike previous approaches, neither is based on…
In an arbitrage-free simple market, we demonstrate that for a class of state-dependent exponential utilities, there exists a unique prediction of the random risk aversion that ensures the consistency of optimal strategies across any time…
Addressing the question of how to achieve optimal decision-making under risk and uncertainty is crucial for enhancing the capabilities of artificial agents that collaborate with or support humans. In this work, we address this question in…
This paper considers endogenous selection models, in particular nonparametric ones. Estimating the unconditional law of the outcomes is possible when one uses instrumental variables. Using a selection equation which is additively separable…