相关论文: A Prudent Framework for Understanding Risk-Awarene…

We explain the main concepts of Prospect Theory and Cumulative Prospect Theory within the framework of rational dynamic asset pricing theory. We derive option pricing formulas when asset returns are altered with a generalized Prospect…

Interest has been growing in decision-focused machine learning methods which train models to account for how their predictions are used in downstream optimization problems. Doing so can often improve performance on subsequent decision…

The rapid expansion of digital commerce platforms has amplified the strategic importance of coordinated pricing and inventory management decisions among competing retailers. Motivated by practices on leading e-commerce platforms, we analyze…

The risk-sensitive foraging theory formulated in terms of the (daily) energy budget rule has been influential in behavioural ecology as well as other disciplines. Predicting risk-aversion on positive budgets and risk-proneness on negative…

Autonomous and semi-autonomous systems are using deep learning models to improve decision-making. However, deep classifiers can be overly confident in their incorrect predictions, a major issue especially in safety-critical domains. The…

Demand response (DR) is a cost-effective and environmentally friendly approach for mitigating the uncertainties in renewable energy integration by taking advantage of the flexibility of customers' demands. However, existing DR programs…

We present a risk-aware formalism for evaluating system trajectories in the presence of uncertain interactions between the system and its environment. The proposed formalism supports reasoning under uncertainty and systematically handles…

This paper develops a risk-adjusted alternative to standard optimal policy learning (OPL) for observational data by importing Roy's (1952) safety-first principle into the treatment assignment problem. We formalize a welfare functional that…

Although behavioral economics has demonstrated that there are many situations where rational choice is a poor empirical model, it has so far failed to provide quantitative models of economic problems such as price formation. We make a step…

Uncertainty is prevalent in engineering design, data-driven problems, and decision making broadly. Due to inherent risk-averseness and ambiguity about assumptions, it is common to address uncertainty by formulating and solving conservative…

This paper examines a heterogeneous beliefs model in which there is a process that is only partially observed by the agents. The economy contains a risky asset producing dividends continuously in time. The dividends are observed by the…

Attention mechanism is effective in both focusing the deep learning models on relevant features and interpreting them. However, attentions may be unreliable since the networks that generate them are often trained in a weakly-supervised…

As operators acting on the undetermined final settlement of a derivative security, expectation is linear but price is non-linear. When the market of underlying securities is incomplete, non-linearity emerges from the bid-offer around the…

In this paper we present a theoretical framework for determining dynamic ask and bid prices of derivatives using the theory of dynamic coherent acceptability indices in discrete time. We prove a version of the First Fundamental Theorem of…

Financial contagion has been widely recognized as a fundamental risk to the financial system. Particularly potent is price-mediated contagion, wherein forced liquidations by firms depress asset prices and propagate financial stress,…

Most people are risk-averse (risk-seeking) when they expect to gain (lose). Based on a generalization of ``expected utility theory'' which takes this into account, we introduce an automaton mimicking the dynamics of economic operations.…

We propose a new approach for solving a class of discrete decision making problems under uncertainty with positive cost. This issue concerns multiple and diverse fields such as engineering, economics, artificial intelligence, cognitive…

Decision under risk and uncertainty has been attracting attention in neuroeconomics and neuroendocrinology of decision-making. This paper demonstrated that the neurotransmitter receptor theory-based value (utility) function can account for…

We propose a consumption-investment decision model where past consumption peak $h$ plays a crucial role. There are two important consumption levels: the lowest constrained level and a reference level, at which the risk aversion in terms of…

Cooperation is a key driver of human social progress. Studies of the evolution of cooperation typically assume a deterministic outcome for social interactions. But in real-world social interactions, interaction outcomes are often subject to…