We propose a new family of risk measures, called GlueVaR, within the class of distortion risk measures. Analytical closed-form expressions are shown for the most frequently used distribution functions in financial and insurance applications. The relationship between Glue-VaR, Value-at-Risk (VaR)...

Consider a finite data set where each observation consists of a bundle of contingent consumption chosen from a constraint set of contingent consumption bundles. We develop a general procedure for testing the consistency of such a data set with a broad class of models of choice under risk or...

Analytics has a similar agenda as management science and is working with the same industrial and business context to support managerial planning, problem solving and decision making. Analytics has a broader scope in terms of methods – besides models and algorithms it also works with...

How should one evaluate information in a monotone decision problem where a higher action is optimal for a higher signal realization? As a criterion for comparing information structures in such environments, I develop a condition called monotone quasi-garbling meaning that an information...

I provide three comparative statics involving the level of demand uncertainty for the newsvendor model, two of which lead to robust predictions. I show that for distributions of demand that are greater in the dispersive order, both the expected (censored) sales and share of inventory sold fall....

We consider a confidence parametrization of binary information sources in terms of appropriate likelihood ratios. This parametrization is used to construct tools for Bayesian belief updates and for equivalent comparisons of binary experiments. First, we provide a Bayesian Update Diagram, which...

A seminal theorem due to Blackwell (1951) shows that every Bayesian decision-maker prefers an informative signal Y to another signal X if and only if Y is statistically sufficient for X. Sufficiency is an unduly strong requirement in most economic problems because it does not incorporate any...

This paper analyzes the problem faced by a risk-averse firm considering how much to invest in a risky project. The firm receives a signal about the value of the project. We derive necessary and sufficient conditions on the signal distribution such that (i) the agent's investment is nondecreasing...

This paper presents a model for the "gambling effect," i.e., the effect that risky gambles are evaluated differently than riskless outcomes due to an intrinsic utility (or disutility) of gambling.The model turns out to violate stochastic dominance and therefore its primary applications will be...

This paper studies market selection in an Arrow-Debreu economy with complete markets where agents learn over misspecified models. Under model misspecification, standard Bayesian learning loses its formal justification and biased learning processes may provide a selection advantage. However,...