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A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.

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48 results for expected utility operators

This paper solves a coinsurance problem using fuzzy numbers and expected utility operators.

problem Formulating a coinsurance problem in the possibilistic setting of expected utility operators.
method Developed a framework using expected utility operators to model risk aversion and solve the coinsurance problem.
result Various formulas for the optimal TT-coinsurance rate are derived for specific utility functions and fuzzy numbers.

Study examines how risk tolerance impacts long-term investment returns.

problem Understanding the impact of risk tolerance on investment returns over time.
method Used Malliavin calculus and Hansen--Scheinkman decomposition.
result Risk aversion affects long-term investment utility through eigenvalues and eigenfunctions.

Study optimizes insurance investment to maximize utility across all capital levels.

problem Maximizing expected utility across all capital levels in an insurance company's investment strategy.
method Dynamic Programming Principle and Hamilton-Jacobi-Bellman (HJB) equation to prove existence of optimal strategy.
result Existence of optimal investment strategy proven under certain conditions.

Efficiently predicts long-time dynamics of quantum spin models using MLP regression.

problem Challenges in calculating long-time expectation values for quantum spin models.
method Utilized a multi-layer perceptron (MLP) model for regression on matrix product states (MPS) expectation values.
result Significantly reduced computational cost for generating long-time dynamics while maintaining high accuracy.

New algorithm tackles unknown utility network resource allocation.

problem Maximizing network utility with unknown agent utilities.
method Modeling as a bandit problem, proposing algorithms for resource allocation.
result Proposed algorithms are optimal when all agents have the same utility.

The paper solves an insurance problem using mean-variance and rank-dependent utility theory.

problem Formulating and solving an insurance problem with rank-dependent utility and mean-variance premium principle.
method Formulated as a non-concave maximization problem, then turned into a concave quantile optimization problem, solved using calculus of variations.
result An optimal insurance contract is derived and numerically computed.

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. Each operator is characterized by a parameter q which gauges people's attitude unde…

2001-09-11abs ↗pdf ↗

We introduce a representation theory for risk operations on locally compact groups in a partition of unity on a topological manifold for Markowitz-Tversky-Kahneman (MTK) reference points. We identify (1) risk torsion induced by the flip rate for risk averse and risk seeking behaviour, and (2) a structure constant or co…

2012-06-12abs ↗pdf ↗

Dynamic risk constraints help limit risky behavior in financial portfolios.

problem Static risk measures fail to control tail-risk-seeking traders.
method Introduces dynamic risk constraints applied throughout the trading horizon.
result Dynamic risk constraints can effectively limit risky behavior in portfolios.

The paper confirms a conjecture about optimal expected utility in discrete-time markets approaching a continuous-time model.

problem Analyzing the convergence of optimal expected utility in discrete-time markets to a continuous-time model.
method Examined a sequence of discrete-time economies generated by scaled random walks, and compared their optimal expected utilities to the continuous-time Black-Scholes-Merton model.
result The conjecture holds for utility functions with asymptotic elasticity strictly less than one, but fails for elasticity equal to one.

Active inference minimizes expected free energy for optimal behavior.

problem Understanding and optimizing behavior in complex systems.
method Combines Bayesian decision theory, optimal Bayesian design, and the free energy principle.
result Active inference emerges as a unified framework for information-seeking, utility maximization, and goal-directed behavior.

Study optimal investment and consumption in incomplete markets with nonlinear expectations.

problem Utility maximization in incomplete markets with general constraints.
method Utilizes gg-martingale method to solve optimization problem for various utility functions.
result Characterizes optimal investment-consumption strategy through quadratic BSDE solutions.

Investigates conditions for risk or utility functionals to be sensitive to large losses.

problem Conditions for risk or utility functionals to be sensitive to large losses.
method Analyzes sensitivity to large losses for various risk and utility functionals.
result Value at Risk and Expected Shortfall generally fail to be sensitive to large losses, but expected utility functionals and certain adjusted versions are sensitive.

The paper confirms a conjecture about optimal expected utility in markets with insider information.

problem Optimal expected utility in markets with insider information.
method An extension of the Black-Scholes-Merton model with a sequence of discrete-time economies.
result Optimal expected utility converges to the classic model when conditions are met.

Loss-calibrated EP improves Bayesian decision-making by focusing on utility-sensitive posterior approximations.

problem Bayesian decision-making under asymmetric utility functions.
method Loss-calibrated expectation propagation (Loss-EP) that tilts the posterior towards higher utility decisions.
result Loss-EP can capture useful information for decision-making under asymmetric penalties.

Optimal portfolios are found for a wide range of utility functions under hyperbolic returns.

problem Portfolio optimization under expected utility criterion for large portfolios.
method Analytical expressions for optimal portfolios under hyperbolic return distributions and various utility functions.
result The two-fund separation holds true for a broad class of utility functions.

Gambles are random variables that model possible changes in monetary wealth. Classic decision theory transforms money into utility through a utility function and defines the value of a gamble as the expectation value of utility changes. Utility functions aim to capture individual psychological characteristics, but thei…

2014-05-03abs ↗pdf ↗

Study finds cheapest possible payoff under ambiguity, linking to maxmin expected utility.

problem Finding cost-efficient payoffs in uncertain market conditions.
method Developed a new concept of robust cost-efficient payoff and linked it to maxmin expected utility.
result Solutions to maxmin robust expected utility are robust cost-efficient.

Optimizes portfolios with utility theory, diversification, and leverage.

problem Finding optimal portfolio allocation strategies.
method Utility theory, exponential and logarithmic utilities, compound probability distributions, maximum expected utility, generalized mean-variance.
result Enhanced portfolio allocation strategies with natural explanations.

It is of increasing importance to develop learning methods for ranking. In contrast to many learning objectives, however, the ranking problem presents difficulties due to the fact that the space of permutations is not smooth. In this paper, we examine the class of rank-linear objective functions, which includes popular…

2011-06-09abs ↗pdf ↗

We consider an infinite dimensional optimization problem motivated by mathematical economics. Within the celebrated "Arbitrage Pricing Model", we use probabilistic and functional analytic techniques to show the existence of optimal strategies for investors who maximize their expected utility.

2015-08-31abs ↗pdf ↗

Paper tackles conditional expectation estimation using compactification operators.

problem Estimating conditional expectations from product of two random variables.
method Operator theoretic approach using kernel integral operators in reproducing kernel Hilbert space.
result Solutions allow numerical approximation and convergence of data-driven implementations.

The paper solves a complex financial optimization problem using a novel mathematical technique.

problem Optimizing portfolio selection in financial markets.
method Maximal monotone operator method and Riccati transformation.
result Existence and uniqueness of a solution to the transformed parabolic equation in a Sobolev space.

Diversification represents the idea of choosing variety over uniformity. Within the theory of choice, desirability of diversification is axiomatized as preference for a convex combination of choices that are equivalently ranked. This corresponds to the notion of risk aversion when one assumes the von-Neumann-Morgenster…

2015-07-08abs ↗pdf ↗

The paper tackles optimal policy learning with asymmetric counterfactual utilities in healthcare decisions.

problem Learning optimal policies from observed data with asymmetric counterfactual utilities.
method The approach involves identifying and minimizing the maximum expected utility loss using statistical decision theory and solving intermediate classification problems.
result One can learn minimax loss decision rules from observed data.

The paper resolves a counterexample showing convergence of expected utility in binomial models.

problem The convergence of expected utility under binomial models was previously shown to fail in certain cases.
method The paper provides a positive result on convergence using fine estimates from the Central Limit Theorem.
result A general positive result of convergence of expected utility is provided in symmetric binomial models.

We consider market players with tail-risk-seeking behaviour as exemplified by the S-shaped utility introduced by Kahneman and Tversky. We argue that risk measures such as value at risk (VaR) and expected shortfall (ES) are ineffective in constraining such players. We show that, in many standard market models, product d…

2017-11-01abs ↗pdf ↗

In this paper we study a robust expected utility maximization problem with random endowment in discrete time. We give conditions under which an optimal strategy exists and derive a dual representation for the optimal utility. Our approach is based on a general representation result for monotone convex functionals, a fu…

2017-12-20abs ↗pdf ↗

A new method extends Bayesian optimization to more models and utilities.

problem Extending Bayesian optimization to a broader class of models and utilities.
method Likelihood-free Bayesian Optimization (LFBO) which directly models the acquisition function without separate inference.
result LFBO outperforms state-of-the-art black-box optimization methods on real-world problems.

Optimal financial strategies minimize risk under uncertain models.

problem Maximizing utility in financial markets with model uncertainty.
method Optimized strategies converge to those with minimal norm as uncertainty increases.
result Optimal strategies with minimal norm emerge as uncertainty grows.

Expands Bayesian experiment design framework to account for model discrepancies.

problem Model misspecification in Bayesian optimal experiment design.
method Introduces Expected General Information Gain and Expected Discriminatory Information criteria.
result Demonstrates improved robustness and detection capabilities in experiment design.

A new, computationally friendly formula for a class of risk-averse preferences.

problem Characterizing a class of risk-averse preferences called uniformly weighted divergence preferences.
method Introducing a new formula that characterizes UWDP as the translation-invariant hull of state-independent expected utility.
result UWDP are the translation-invariant hull of state-independent expected utility over L0L^0.

Gradient noise improves privacy-protected optimization performance.

problem Improving privacy in convex optimization while maintaining utility.
method We analyze the effect of gradient perturbation on differentially private convex optimization, focusing on expected curvature.
result Gradient perturbation can achieve a significantly improved utility guarantee for differentially private convex optimization.