Results 21 to 30 of about 6,023,559 (283)
Generalized Multiplicative Risk Apportionment
Risks, 2019 This work examines apportionment of multiplicative risks by considering three dominance orderings: first-degree stochastic dominance, Rothschild and Stiglitz’s increase in risk and downside risk increase.
Hongxia Wang
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Risk-Averse Stochastic Convex Bandit
CoRR, 2018 Motivated by applications in clinical trials and finance, we study the problem of online convex optimization (with bandit feedback) where the decision maker is risk-averse. We provide two algorithms to solve this problem. The first one is a descent-type algorithm which is easy to implement.
Adrian Rivera Cardoso, Huan Xu
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Acreage Response under Varying Risk Preferences
Journal of Agricultural and Resource Economics, 2012 The assumption in standard expected utility model formulations that the coefficient of risk aversion is a constant is potentially unrealistic. This study takes the standard linear expected mean variance problem and replaces the coefficient of risk ...
Carlos Anthony Arnade, Joseph C. Cooper
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Martingale characterizations of risk-averse stochastic optimization problems [PDF]
Mathematical Programming, 2019 This paper addresses risk awareness of stochastic optimization problems. Nested risk measures appear naturally in this context, as they allow beneficial reformulations for algorithmic treatments. The reformulations presented extend usual Hamilton-Jacobi-Bellman equations in dynamic optimization by involving risk awareness in the problem formulation ...
Alois Pichler, Ruben Schlotter
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IEEE Access, 2020 Up to congestion (UTC) is a type of financial product available in the nodal electricity markets of the United States, based on which a financial participant can earn profits by utilizing the different congestion and loss components of the electricity ...
Dongliang Xiao, Haoyong Chen
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Risk neutral reformulation approach to risk averse stochastic programming
European Journal of Operational Research, 2020 The aim of this paper is to show that in some cases risk averse multistage stochastic programming problems can be reformulated in a form of risk neutral setting. This is achieved by a change of the reference probability measure making ``bad" (extreme) scenarios more frequent.
Rui Peng Liu, Alexander Shapiro 0001
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Systems Science & Control Engineering, 2023 In this paper, we investigate an optimal investment strategy for defined-contribution (DC) pension plan under hybrid stochastic volatility (Heston–Hull–White) model, taking account of the inflation risk and the stochastic salary.
Yanyu Shao, Dengfeng Xia, Weiyin Fei
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Risk-Averse Stochastic Programming: Time Consistency and Optimal Stopping [PDF]
Operations Research, 2022 Decision making under uncertainty includes reassessing and reevaluating risk after initial decisions. To this end, it is essential to consider a governing value process and to track its evolution over time. The paper, “Risk-Averse Stochastic Programming: Time Consistency and Optimal Stopping,” by Pichler, Liu, and Shapiro, develops a consistent ...
Alois Pichler +2 more
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Adaptive Sampling for Stochastic Risk-Averse Learning
CoRR, 2019 In high-stakes machine learning applications, it is crucial to not only perform well on average, but also when restricted to difficult examples. To address this, we consider the problem of training models in a risk-averse manner. We propose an adaptive sampling algorithm for stochastically optimizing the Conditional Value-at-Risk (CVaR) of a loss ...
Sebastian Curi +3 more
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Individual risk-aversion responses tune epidemics to critical transmissibility (R = 1)
Royal Society Open Science, 2022 Changes in human behaviour are a major determinant of epidemic dynamics. Collective activity can be modified through imposed control measures, but spontaneous changes can also arise as a result of uncoordinated individual responses to the perceived risk ...
S. Manrubia, D. H. Zanette
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