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Sharing or gambling? : on risk attitudes in social contexts

Kocher, Martin; Krawczyk, Michal; Le Lec, Fabrice - 2013

This paper investigates experimentally whether risk attitudes are stable across social contexts. In particular, it focuses on situations where some resource (for instance, a position, decision power, a bonus) has to be allocated between two parties: the decision maker can either opt for sharing...

Persistent link: https://www.econbiz.de/10010350221

Stochastic-Volatility, Jump-Diffusion Optimal Portfolio Problem with Jumps in Returns and Volatility

Hanson, Floyd B. - 2011

This paper treats the risk-averse optimal portfolio problem with consumption in continuous time for a stochastic-jump-volatility, jump-diffusion (SJVJD) model of the underlying risky asset and the volatility. The new developments are the use of the SJVJD model with...

Persistent link: https://www.econbiz.de/10013123110

Strategic Experimentation with Erlang Bandits

Boyarchenko, Svetlana - 2017

Risks related to events that arrive randomly play important role in many real life decisions, and models of learning and experimentation based on two-armed Poisson bandits addressed several important aspects related to strategic and motivational learning in cases when events arrive at jump times...

Persistent link: https://www.econbiz.de/10012958670

Linear Algorithm for Portfolio Optimization with Third-Order Stochastic Dominance

Fang, Yi - 2018

We propose a novel linear approximation of expected utility. The approximation guides us as we transfer the traditional quadratic dependence of third-order stochastic dominance (TSD) into an equivalent linear system. The finding also shows a dual relationship between traditional low partial...

Persistent link: https://www.econbiz.de/10012911538

Quantifying Ambiguity Bounds Through Hypothetical Statistical Testing

Balter, Anne - 2018

uncertainty. Robust strategies, which are least sensitive to perturbations of the underlying model, take uncertainty into account … alternative models by a stochastic change of probability measure and derive a quantitative bound on the uncertainty set. We find … an explicit ex ante relation between the choice parameter k, which is the radius of the uncertainty set, and the Type I …

Persistent link: https://www.econbiz.de/10012937233

Robust Experimentation in the Continuous Time Bandit Problem

Pourbabaee, Farzad - 2020

We study the experimentation dynamics of a decision maker (DM) in a two-armed bandit setup (Bolton and Harris [1999]), where the agent holds ambiguous beliefs regarding the distribution of the return process of one arm and is certain about the other one. The DM entertains Multiplier preferences...

Persistent link: https://www.econbiz.de/10012852164

Strategic Experimentation With Humped Bandits

Boyarchenko, Svetlana - 2018

Models of learning and experimentation based on two-armed Poisson bandits addressed several important aspects related to strategic and motivational learning, but they are not suitable to study effects that accumulate over time. We propose a new class of models of strategic experimentation which...

Persistent link: https://www.econbiz.de/10012919919

The Optimal Level of Experimentation

Moscarini, Giuseppe; Smith, Lones - 2012

We assume that an impatient decision maker (DM) runs variable-size experiments at an increasing, strictly convex cost before choosing an irreversible action. We introduce and solve a tractable continuous time version of this problem - a control of variance of a diffusion with uncertain mean....

Persistent link: https://www.econbiz.de/10014142706

The Optimal Level of Experimentation

Moscarini, Giuseppe; Smith, Lones - 2012

We assume that an impatient decision maker (DM) runs variable-size experiments at an increasing, strictly convex cost before choosing an irreversible action. We introduce and solve a tractable continuous time version of this problem --- a control of variance of a diffusion with uncertain mean....

Persistent link: https://www.econbiz.de/10014060773

Robust Impulse Control of G-Diffusion Processes

Pun, Chi Seng; Wong, Hoi Ying - 2021

This paper establishes a general analytical framework for the impulse controls of the diffusion processes driven by multidimensional G-Brownian motion. We propose new G-quasi-variational inequalities (G-QVI) and we provide a verification theorem to link a classical (smooth) solution of the G-QVI...

Persistent link: https://www.econbiz.de/10014087248

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