Model-free preference under ambiguity defined and applied.
problem Understanding and quantifying ambiguity aversion and prudence.
method Introduces a new model-free definition of ambiguity attitudes and applies it in various contexts.
result New definition of ambiguity prudence equivalent to specific mathematical functions.
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 α-maxmin nonlinear expectation, renders the stopping problem time-inconsistent. We look for subgame perfect…
This paper solves a financial portfolio selection problem in incomplete markets.
problem Portfolio selection in incomplete financial markets with ambiguity.
method Constructing an efficient frontier, simplifying the problem, introducing a new distorted Legendre transformation, and proving the bipolar relation and distorted duality theorem.
result The existence and uniqueness of optimal strategies are shown for different utility functions under specific conditions.
Study nonconcave portfolio choice with smooth ambiguity and Bayesian learning.
problem Nonconcave portfolio choice under smooth ambiguity and Bayesian learning.
method Developed a general framework for dynamic, non-concave asset allocation.
result Dynamic consistency achieved through a robust representation.
Study optimal stopping for group with diverse discount rates using an attitude function.
problem Optimal stopping for a group with diverse discount rates under an aggregation preference.
method Develop iterative approach using consistent planning for time-consistent equilibria.
result Characterize all time-consistent mild equilibria as fixed points of an operator.
This paper analyzes a game between insurer and reinsurer under ambiguity and risk aversion, optimizing reinsurance and investment strategies.
problem Optimizing reinsurance and investment strategies in a game between insurer and reinsurer under ambiguity and risk aversion.
method Stackelberg game, α-maxmin mean-variance criterion, Heston's stochastic volatility, Hamilton-Jacobi-Bellman equations, Riccati differential equations. result Excess-of-loss reinsurance is optimal for the insurer, and the equilibrium strategies are determined by specific equations.
The Machina thought experiments pose to major non-expected utility models challenges that are similar to those posed by the Ellsberg thought experiments to subjective expected utility theory (SEUT). We test human choices in the `Ellsberg three-color example', confirming typical ambiguity aversion patterns, and the `Mac…
A firm with heterogeneous shareholders optimizes dividends under ambiguity aggregation.
problem Optimizing dividends for a firm with heterogeneous shareholders under ambiguity aggregation.
method Characterizing equilibrium dividends using a partition of the state space.
result Time-homogeneous equilibrium dividend law characterized by a partition of the state space.
This paper solves robust utility maximization with unknown claim dependencies.
problem Investor optimizes utility in the presence of an intractable contingent claim.
method Quantile optimization approach, transforming dynamic problem into static concave optimization.
result Optimal payoffs depend on ambiguity attitude, market conditions, and claim characteristics.
New concept of attitude towards probability introduced in risk sharing problems.
problem Risk sharing problems and attitudes towards probability.
method Generalized definition of probability premium, local approximation, rank-dependent utility model, dual theory.
result Attitude towards probability can be first-order or second-order, depending on the model.
To find a trade-off between profitability and prudence, financial practitioners need to choose appropriate risk measures. Two key points are: Firstly, investors' risk attitudes under uncertainty conditions should be an important reference for risk measures. Secondly, risk attitudes are not absolute. For different marke…
ANFIS system improves satellite attitude estimation and control.
problem Improving accuracy of satellite attitude estimation and control.
method Adaptive neuro-fuzzy integrated (ANFIS) model for satellite attitude estimation and control.
result ANFIS controller outperforms optimal PID controller in time and smoothness.
Examines optimal risk sharing with realistic risk attitudes, finding risk seeking in certain subdomains.
problem Optimal risk sharing with empirically realistic risk attitudes.
method Allows for risk-seeking agents, generalizes expected utility, and uses counter-monotonic improvement theorem.
result First empirical results on optimal risk sharing with realistic risk attitudes.
Optimal risk sharing found for heterogeneous risk attitudes using distortion risk measures.
problem Risk sharing in economies with diverse risk attitudes.
method Modeling preferences with distortion risk measures, using comonotonic and counter-monotonic principles.
result Optimal risk sharing strategies identified based on risk attitudes, reducing the n-agent problem to a two-agent formulation. Little is known about how different types of advertising affect brand attitudes. We investigate the relationships between three brand attitude variables (perceived quality, perceived value and recent satisfaction) and three types of advertising (national traditional, local traditional and digital). The data represent t…
Neural networks outperform conventional filters in inertial sensor-based attitude estimation.
problem Limited accuracy in inertial sensor-based attitude estimation due to dynamic and static motion.
method Investigated neural networks versus conventional filters for improving accuracy.
result Neural networks outperform conventional filters only with domain-specific optimizations.
Paper proposes a deep learning method for better IMU gyroscope data.
problem Improving accuracy of IMU gyroscope data for robot orientation estimation.
method Dilated convolution neural network, proper loss function, key points identification.
result Algorithm outperforms state-of-the-art on unseen test sequences.
Study analyzes gambling behavior and risk attitudes using blockchain data.
problem Lack of real-life gambling data for validating predictions and experimental findings.
method Collects and analyzes betting data from a decentralized application on the Ethereum Blockchain.
result Empirical examples of gambling systems and insights into risk preferences.
Paper introduces EnDKF for more accurate pose tracking.
problem Accurate pose tracking with directional uncertainty.
method EnDKF integrates unit-quaternion attitude representation for better directional uncertainty capture.
result Significant reduction in error compared to traditional methods.
Investigates how diversification preferences relate to risk attitudes.
problem Connecting diversification preferences to risk attitudes.
method Analyzes diversification preferences for various pairs of risks under different conditions.
result Diversification preferences for certain pairs of risks imply specific levels of risk aversion.
New framework learns complex AI attitudes from heterogeneous data.
problem Heterogeneous ordinal structure in AI attitudes, poorly captured by existing methods.
method Monotone Gaussian score embedding, BNP complexity discovery, confirmatory fixed-K estimation.
result Reduced holdout MSE by 25.8% over single-graph baseline.
Empirical evidence supports new financial market definitions.
problem Investor risk attitudes in financial markets.
method Developed a new method to analyze risk attitudes.
result Risk-averse behavior in equity investors, risk-loving behavior in risk-free asset investors.
We provide foundations for decisions in face of unlikely events by extending the standard framework of Savage to include preferences indexed by a family of events. We derive a subjective lexicographic expected utility representation which allows for infinitely many lexicographically ordered levels of events and for eve…
Online voting is an emerging feature in social networks, in which users can express their attitudes toward various issues and show their unique interest. Online voting imposes new challenges on recommendation, because the propagation of votings heavily depends on the structure of social networks as well as the content …
Experiment shows cognitive biases impact human-AI collaboration, highlighting the need for diverse evaluator samples.
problem Cognitive biases affect human-AI collaboration, leading to suboptimal outcomes.
method Randomized experiment with 2,784 participants, manipulating AI suggestion quality, task burden, and financial incentives.
result Individual attitudes toward AI are the strongest predictor of performance, influencing accuracy and overcorrection.
When investors have heterogeneous attitudes towards risk, it is reasonable to assume that each investor has a pricing kernel, and that these individual pricing kernels are aggregated to form a market pricing kernel. The various investors are then buyers or sellers depending on how their individual pricing kernels compa…
Investment strategy optimized for ambiguity and interest rate risk.
problem Dynamic asset allocation with interest rate risk and ambiguity.
method Closed-form solution for optimal investment strategy.
result Ambiguity affects speculative motives, not hedging of interest rate risk.
LLMs can simulate human investment attitudes based on personality traits.
problem Investigating how LLMs mimic human investment behaviors.
method Simulated investment task using LLM personas with specific Big Five personality profiles.
result LLMs can produce meaningful behavioural differences in investment tasks that align with human traits.
In this paper we present an interacting-agent model of stock markets. We describe a stock market through an Ising-like model in order to formulate the tendency of traders getting to be influenced by the other traders' investment attitudes [1], and formulate the traders' decision-making regarding investment as the maxim…
In this paper, we study optimal switching problems under ambiguity. To characterize the optimal switching under ambiguity in the finite horizon, we use multidimensional reflected backward stochastic differential equations (multidimensional RBSDEs) and show that a value function of the optimal switching under ambiguity …
Study insurance pricing under correlation ambiguity without increasing prices or reducing utility.
problem Understanding the dependence structure between insurance and financial risks.
method Dynamic equilibrium analysis of insurance pricing with worst-case beliefs.
result Correlation ambiguity does not necessarily increase insurance prices or reduce insurers' utility.
New formulations capture aversion to ambiguity about volatility.
problem Capturing aversion to ambiguity about unknown and time-varying volatility.
method Introduces novel preference formulations and compares them with existing models.
result Illustrates the impact of ambiguity aversion in static and dynamic models.
A framework for robust exploration in reinforcement learning under ambiguity.
problem Optimal stopping under ambiguity in reinforcement learning.
method Continuous-time robust reinforcement learning framework using g-expectation and backward stochastic differential equations. result Constructs a robust exploratory stopping time approximating the optimal stopping time under ambiguity.
Study inert and ambiguous classes in modular group using combinatorial methods.
problem Counting inert and ambiguous conjugacy classes in modular group.
method Purely combinatorial approach using word length in free product representation.
result Exact counting formulas and asymptotic growth rates for inert and ambiguous classes.
Investment strategy in ambiguous financial markets with learning
problem Continuous time investment problem in multi-asset Black-Scholes market with model ambiguity
method Optimal dynamic investment strategy within the class of all adapted strategies which allow for learning
result Ambiguity averse investors invest less in risky assets
We study the dynamic indifference pricing with ambiguity preferences. For this, we introduce the dynamic expected utility with ambiguity via the nonlinear expectation--G-expectation, introduced by Peng (2007). We also study the risk aversion and certainty equivalent for the agents with ambiguity. We obtain the dynamic …
Model cash management under ambiguity using maxmin preferences and diffusion.
problem Optimizing cash reserves in the presence of ambiguity.
method Singular control model with maxmin preferences, verified using Dynkin games.
result Higher expected costs and narrower inaction region under increased ambiguity.
Paper investigates Lambda Value-at-Risk under ambiguity and risk sharing.
problem Investigates Lambda Value-at-Risk under ambiguity and risk sharing.
method Establishes equivalence of robust ΛVaR and traditional ΛVaR under ambiguity sets, analyzes properties, derives explicit formulas, and explores risk sharing. result Unified and extended the concept of Value-at-Risk under ambiguity, derived explicit formulas for specific ambiguity sets, and explored risk sharing.
The paper explores continuous inverse ambiguous functions on various Lie groups.
problem Existence of continuous inverse ambiguous functions on Lie groups.
method Investigation of continuous inverse ambiguous functions on specific Lie groups.
result Existence of continuous inverse ambiguous functions on various Lie groups.
Improves DRO with Bayesian Ambiguity Sets for model misspecification.
problem Overly conservative decisions due to misspecified models in DRO.
method Introduces DRO-RoBAS with robust posterior predictive distribution.
result Outperforms other Bayesian and empirical DRO approaches in out-of-sample performance.
Study optimal timing to divest from assets with uncertain future scenarios.
problem Optimal timing to divest from assets with uncertain future scenarios.
method Smooth model of decision making under ambiguity aversion, optimal stopping problem with learning.
result Proves a minimax result reducing the problem to standard optimal stopping problems with learning.
Optimal policies in Markov decision processes (MDPs) are very sensitive to model misspecification. This raises serious concerns about deploying them in high-stake domains. Robust MDPs (RMDP) provide a promising framework to mitigate vulnerabilities by computing policies with worst-case guarantees in reinforcement learn…
Among American women, the rate of breast cancer is only second to lung cancer. An estimated 12.4% women will develop breast cancer over the course of their lifetime. The widespread use of social media across the socio-economic spectrum offers unparalleled ways to facilitate information sharing, in particular as it pert…
The Frenet frame generalizes the Park transform for multi-phase circuits.
problem Generalizing the Park transform for multi-phase circuits.
method Using the Frenet frame and Cartan's moving frames.
result The Frenet frame provides a new approach to circuit analysis.
This paper compares average-K and top-K classification methods under ambiguity.
problem Choosing a single label in ambiguous cases leads to low precision.
method Formally characterizes ambiguity profiles and compares average-K and top-K classification methods.
result Average-K can achieve lower error rates than top-K in some ambiguous cases.
Proposes handling ambiguity in sequential data predictions.
problem Handling uncertainty in sequential data predictions.
method Extension of MHP model to recurrent architectures, introducing a novel metric.
result Achieved promising results on various sequential data tasks.
This paper compares different DRO formulations for pension fund management.
problem Navigating uncertainty in asset liability management for pension funds.
method Three DRO formulations: mixture, box, and Wasserstein ambiguity sets.
result Wasserstein and box ambiguity sets outperform traditional approaches in fund performance.
Robust MDPs (RMDPs) can be used to compute policies with provable worst-case guarantees in reinforcement learning. The quality and robustness of an RMDP solution are determined by the ambiguity set---the set of plausible transition probabilities---which is usually constructed as a multi-dimensional confidence region. E…