Results 91 to 100 of about 6,023,559 (283)
Generalized Risk-Aversion in Stochastic Multi-Armed Bandits
CoRR, 2014 We consider the problem of minimizing the regret in stochastic multi-armed bandit, when the measure of goodness of an arm is not the mean return, but some general function of the mean and the variance.We characterize the conditions under which learning is possible and present examples for which no natural algorithm can achieve sublinear regret.
Alexander Zimin +2 more
openaire +2 more sources
Calibrated Stochastic Dynamic Models for Resource Management [PDF]
In this paper we develop a positive calibrated approach to stochastic dynamic programming. Risk aversion, discount rate, and intertemporal substitution preferences of the decision-maker are calibrated by a procedure that minimizes the mean squared error ...
Reynaud, Arnaud +3 more
core
Deepening the real options debate: Real options as dynamic optimization
Strategic Management Journal, EarlyView.Abstract Research Summary Is real option theory useful for management research? This topic was hotly debated two decades ago. Real options were said to be inapplicable to management research and to lack conceptual distinctiveness. Whereas responses to the claim about the non‐distinctiveness of real options were disparate, the concern about the theory's
Arkadiy V. Sakhartov +2 more
wiley +1 more source
STOCHASTIC EFFICIENCY ANALYSIS USING MULTIPLE UTILITY FUNCTIONS [PDF]
Evaluating the risk of a particular decision depends on the risk aversion of the decision maker related to the underlying utility function. The objective of this paper is to use stochastic efficiency with respect to a function (SERF) to compare the ...
Lien, Gudbrand D. +3 more
core
Salient Rewards, Payoff Protocols and Biased Data
Southern Economic Journal, EarlyView.ABSTRACT Paying salient rewards to subjects is expensive. Is it worth it? We describe previous data from otherwise identical treatments with hypothetical or salient payoffs that indicate opposite conclusions about the central research question in a paper. If we are going to pay salient rewards, how should we? The answer depends on the theoretical model
James C. Cox, Vjollca Sadiraj
wiley +1 more source
IMPACT OF RISK AVERSION ON THE OPTIMAL ROTATION WITH STOCHASTIC PRICE
Natural Resource Modeling, 2008 AbstractThis paper examines the effect of risk aversion on the optimal rotation when the stumpage price is stochastic. Assuming that the stumpage price is normally distributed, we show that the optimal rotation under risk aversion may be shorter than, equal to, or longer than the corresponding optimal rotation under risk neutrality.
Gong, Peichen, Löfgren, Karl-Gustaf
openaire +1 more source
Australian Journal of Agricultural and Resource Economics, EarlyView.ABSTRACT This study assesses how weather‐year‐dependent sheep and crop management tactics affect farm profitability and farm system greenhouse gas emissions in the central Great Southern region in Australia. To investigate the impact of farmers' tactical decisions on farm profit and emissions, a whole farm optimisation model known as the Australian ...
Michael Young, Ross Kingwell, John Young
wiley +1 more source
A Multiperiod Equilibrium Pricing Model
Journal of Applied Mathematics, 2014 We propose an equilibrium pricing model in a dynamic multiperiod stochastic framework with uncertain income. There are one tradable risky asset (stock/commodity), one nontradable underlying (temperature), and also a contingent claim (weather derivative ...
Minsuk Kwak +2 more
doaj +1 more source
Risk Aversion and Clientele Effects [PDF]
We use traded options on growth and value indices to test for clientele differences in risk preferences. Value investors appear to have exhibited a higher average level of risk aversion than growth investors for two different time periods in the late ...
Andrey D. Ukhov +2 more
core
Australian Journal of Agricultural and Resource Economics, EarlyView.ABSTRACT This paper examines the relationships between chemical use, namely fertilisers and pesticides, and the production risk of conventional maize in Northern Italy. Using data from the Italian Farm Accountancy Data Network for the period 2015–2020, merged with a station‐based weather dataset, we analyse the production risk through moments of farm ...
Thi Thanh Thuong Dang +2 more
wiley +1 more source