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A partitioning algorithm for Markov decision processes with applications to market microstructure
Chen, Ningyuan; Kou, Steven; Wang, Chun - In: Management science : journal of the Institute for … 64 (2018) 2, pp. 784-803
Persistent link: https://www.econbiz.de/10011823146
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Banach Contraction Principle and ruin probabilities in regime-switching models
Gajek, Lesław; Rudź, Marcin - In: Insurance / Mathematics & economics 80 (2018), pp. 45-53
Persistent link: https://www.econbiz.de/10011872912
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Leontief meets Markov : sectoral vulnerabilities through circular connectivity
Wirkierman, Ariel; Bianchi, Monica; Torriero, Anna - In: Networks and spatial economics : a journal of … 22 (2022) 3, pp. 659-690
Persistent link: https://www.econbiz.de/10013455450
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First passage times in portfolio optimization : a novel nonparametric approach
Zsurkis, Gabriel; Nicolau, João; Rodrigues, Paulo M. M. - In: European journal of operational research : EJOR 312 (2024) 3, pp. 1074-1085
Persistent link: https://www.econbiz.de/10014456467
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Estimating the probabilities of default under the assumption of unobserved heterogeneity
Oded, Jacob; Venezia, Itzhak - 2024
Persistent link: https://www.econbiz.de/10015050045
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Composite prospect theory : a proposal to combine "prospect theory" and "cumulative prospect theory"
Al-Nowaihi, Ali; Dhami, Sanjit S. - 2010
theories, rank dependent utility (RDU) and cumulative prospect theory (CP) incorporate (i) but not (ii). By contrast, prospect … theory (PT) addresses (i) and (ii) by proposing an editing phase that eliminates extremely low probability events, followed … prospect theory (CCP). CCP combines the editing and decision phases of PT into one phase and does not allow for the choice of …
Persistent link: https://www.econbiz.de/10003954029
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The behavioral economics of insurance
Al-Nowaihi, Ali; Dhami, Sanjit S. - 2010
dependent utility (RDU) and cumulative prospect theory (CP) satisfy 1 but fail on 2, 3, 4. We propose a new class of … composite cumulative prospect theory (CCP). Both CRDU and CCP are able to successfully explain 1-4. CCP is, however, more … theory ; Composite cumulative prospect theory ; power invariance ; local power invariance …
Persistent link: https://www.econbiz.de/10003954032
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Weak Measurability and Characterizations of Risk
Khan, M. Ali; Sun, Yeneng - 1999
In the context of a continuum of random variables, arising, for example, as rates of return in financial markets with a continuum of assets, or as individual responses in games with a continuum of players, an important economic issue is to show how idiosyncratic risk can be removed through some...
Persistent link: https://www.econbiz.de/10014194823
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A Method for Approximating Univariate Convex Functions using Only Function Value Evaluations
Siem, A.Y.D; den Hertog, Dick; Hoffmann, A. L. - 2007
In this paper, piecewise linear upper and lower bounds for univariate convex functions are derived that are only based on function value information. These upper and lower bounds can be used to approximate univariate convex functions. Furthermore, new Sandwich algorithms are proposed, that...
Persistent link: https://www.econbiz.de/10014224359
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On the optimality of regularity in mixing markovian decision rules for MDP control
Laan, Dinard van der - 2010
In this paper we study Markov Decision Process (MDP) problems with the restriction that at decision epochs only a finite number of given Markovian decision rules may be applied. The elements of the finite set of allowed decision rules should be mixed to improve the performance. The set of...
Persistent link: https://www.econbiz.de/10011380145