Information Security and Risk Management
... that Proposal 1 had the smallest value of the PCR even though Proposal 1 did not dominate any individual metric. However, if the decision maker’s weights were A=.1, B=.2, and C=.7, then based on the PCR, Proposal 4 is preferred to Proposal 2, which is preferred to Proposal 1, which in turn is prefer ...
... that Proposal 1 had the smallest value of the PCR even though Proposal 1 did not dominate any individual metric. However, if the decision maker’s weights were A=.1, B=.2, and C=.7, then based on the PCR, Proposal 4 is preferred to Proposal 2, which is preferred to Proposal 1, which in turn is prefer ...
Rationality and the Bayesian Paradigm
... This question might seem futile when we discuss physical quantities such as length, but it will prove important when we turn to concepts such as probability or rationality. We maintain that the two scenarios can be distinguished even if we don’t have access to external sources of information. When a ...
... This question might seem futile when we discuss physical quantities such as length, but it will prove important when we turn to concepts such as probability or rationality. We maintain that the two scenarios can be distinguished even if we don’t have access to external sources of information. When a ...
Review of risk and uncertainty concepts for climate change assessments including human dimensions Abstract
... support the point made in the previous section, these aspects will be discussed using an objective example: the bag with 100 colored marbles introduced above. Randomness: The composition of the bag is known, so there is a well founded probability distribution. For example, assuming an unchanged cl ...
... support the point made in the previous section, these aspects will be discussed using an objective example: the bag with 100 colored marbles introduced above. Randomness: The composition of the bag is known, so there is a well founded probability distribution. For example, assuming an unchanged cl ...
Study on the Dependence Conditional Risk in Financial Portfolio
... Dependence risk measurement in portfolio’s risk management is one of the most important issues. It is well known that linear correlation has some deficiencies that one is that it is not invariant under non-linear strictly increasing transformation, and the other is that it can not measure the depend ...
... Dependence risk measurement in portfolio’s risk management is one of the most important issues. It is well known that linear correlation has some deficiencies that one is that it is not invariant under non-linear strictly increasing transformation, and the other is that it can not measure the depend ...
Rationality and the Bayesian paradigm
... futile when we discuss physical quantities such as length, but it will prove important when we turn to concepts such as probability or rationality. We maintain that the two scenarios can be distinguished even if we don’t have access to external sources of information. When a meter is present, each p ...
... futile when we discuss physical quantities such as length, but it will prove important when we turn to concepts such as probability or rationality. We maintain that the two scenarios can be distinguished even if we don’t have access to external sources of information. When a meter is present, each p ...
PROBABILITY AND CERTAINTY
... in a proposition given a set of evidential propositions. The subjective measure is the measure of a particular subject’s dispositions to decide between options. In both measures, certainty is a degree of belief 1. I will show, however, that there can be cases where one belief is stronger than anothe ...
... in a proposition given a set of evidential propositions. The subjective measure is the measure of a particular subject’s dispositions to decide between options. In both measures, certainty is a degree of belief 1. I will show, however, that there can be cases where one belief is stronger than anothe ...
The Proper Use of Risk Measures in Portfolio Theory
... solve, many researchers have sought and proposed equivalent formulations with nicer ...
... solve, many researchers have sought and proposed equivalent formulations with nicer ...
Forfeiture of Illegal Gains, Attempts and Implied Risk Preferences
... between them may seem nonconsequential, there are subtle but important differences between them, at least for purposes of studying the implications of CAP. In particular, (i) a degree of forfeiture upon punishment is sufficient to reconcile CAP and risk aversion, but (ii) the prospect of being punis ...
... between them may seem nonconsequential, there are subtle but important differences between them, at least for purposes of studying the implications of CAP. In particular, (i) a degree of forfeiture upon punishment is sufficient to reconcile CAP and risk aversion, but (ii) the prospect of being punis ...
Dynamic Risk Measures
... compactness. It is equivalent to continuity from below for the risk measure, see Corollary 4.35 in Föllmer and Schied (2004) or Chateauneuf, Maccheroni, Marinacci, and Tallon (2005). A behavioral justification for such kind of continuity has already been given by Arrow (1971). ...
... compactness. It is equivalent to continuity from below for the risk measure, see Corollary 4.35 in Föllmer and Schied (2004) or Chateauneuf, Maccheroni, Marinacci, and Tallon (2005). A behavioral justification for such kind of continuity has already been given by Arrow (1971). ...
Decisions with Conflicting and Imprecise Information
... information set is available, we consider here an objective information made of a pair of probability distribution sets. Axioms 1 to 6 exactly parallel Gilboa and Schmeidler (1989) axioms, so we will not elaborate on them. We only insist on the fact that imprecision aversion is captured through atti ...
... information set is available, we consider here an objective information made of a pair of probability distribution sets. Axioms 1 to 6 exactly parallel Gilboa and Schmeidler (1989) axioms, so we will not elaborate on them. We only insist on the fact that imprecision aversion is captured through atti ...
Unreliable probabilities, risk taking, and decision making
... asked to estimate for each event the probability of its occurrence. Some events were of the well-known parlor game type, e.g. that the next card drawn from an ordinary deck of cards will be a spade; while other events were ones about which the subjects presumably had very limited information, e.g. t ...
... asked to estimate for each event the probability of its occurrence. Some events were of the well-known parlor game type, e.g. that the next card drawn from an ordinary deck of cards will be a spade; while other events were ones about which the subjects presumably had very limited information, e.g. t ...
Research Results
... Demand Probabilities Net Payout Large Plant Net Payout Small Plant Optimal Decision ...
... Demand Probabilities Net Payout Large Plant Net Payout Small Plant Optimal Decision ...
Decision Support for Offering Load-Side Regulation Service Reserves in Competitive Power Markets
... provider to demonstrate that it is capable to track a standard RS signal trajectory at a pre-specified accuracy level2 . The RS signal specifies the portion of the RS amount that the resource needs to provide until the next signal update. For example, if a SBO bids for an average consumption rate of ...
... provider to demonstrate that it is capable to track a standard RS signal trajectory at a pre-specified accuracy level2 . The RS signal specifies the portion of the RS amount that the resource needs to provide until the next signal update. For example, if a SBO bids for an average consumption rate of ...
Nash Equilibrium with Lower Probabilities
... It has a unique Nash equilibrium, 12 U 12 M; 12 L 12 R , which is in mixed strategies. Nevertheless, it is our intuition that many people in the position of player 1, even with a risk attitude as embodied in u, would choose the strategy D. Insofar as we conceive of the players as Bayesian expect ...
... It has a unique Nash equilibrium, 12 U 12 M; 12 L 12 R , which is in mixed strategies. Nevertheless, it is our intuition that many people in the position of player 1, even with a risk attitude as embodied in u, would choose the strategy D. Insofar as we conceive of the players as Bayesian expect ...
Extremes_CCT_v3 - Biomathematics and Statistics Scotland
... probability that it fails on any particular day to be less than 1-in-10000. How high should it be? ...
... probability that it fails on any particular day to be less than 1-in-10000. How high should it be? ...
Download paper (PDF)
... An outline of the remainder of the paper, and a summary of our main results are as follows: In the next section, we provide the model and a description of the problems studied. For the objectives considered here, the relevant state variable is the ratio of the investor’s wealth to the benchmark. Sin ...
... An outline of the remainder of the paper, and a summary of our main results are as follows: In the next section, we provide the model and a description of the problems studied. For the objectives considered here, the relevant state variable is the ratio of the investor’s wealth to the benchmark. Sin ...
Preferences and Utility - UCLA Economics Homepage
... the number of the ith good the agent consumes. In order to prove a representation theorem for this larger set of choices, we need one more (rather technical) axiom. Continuity Axiom: Suppose x1 , x2 , x3 , . . . is a sequence of feasible choices, so that xi ∈ X for each i, and suppose the sequence c ...
... the number of the ith good the agent consumes. In order to prove a representation theorem for this larger set of choices, we need one more (rather technical) axiom. Continuity Axiom: Suppose x1 , x2 , x3 , . . . is a sequence of feasible choices, so that xi ∈ X for each i, and suppose the sequence c ...
Auctions (with BNE)
... • G1 (b) = 0. Assume for now that the high-type bidders will bid at least as much as the low-type bidders (and, if they randomize, their support will be weakly higher) — we will prove this later. Then by bidding b an agent has 0 probability of winning the object; hence the expected utility from bidd ...
... • G1 (b) = 0. Assume for now that the high-type bidders will bid at least as much as the low-type bidders (and, if they randomize, their support will be weakly higher) — we will prove this later. Then by bidding b an agent has 0 probability of winning the object; hence the expected utility from bidd ...
Hidden Markov Models
... • Consider the total probability of all hidden sequences under a given HMM. • Let fL(i) be the sum of the probabilities of all hidden sequences upto i that end in the state L. • Then fL(i) is given by ...
... • Consider the total probability of all hidden sequences under a given HMM. • Let fL(i) be the sum of the probabilities of all hidden sequences upto i that end in the state L. • Then fL(i) is given by ...
The Optimal Draw-down for a Charity
... distributed and some regularity conditions on the rate of discounting of future utility are satisfied, the optimal rate of consumption is constant, and optimal wealth is lognormal and bounded below. All calculations are done continuously rather than discretely. Although the key features of the Merto ...
... distributed and some regularity conditions on the rate of discounting of future utility are satisfied, the optimal rate of consumption is constant, and optimal wealth is lognormal and bounded below. All calculations are done continuously rather than discretely. Although the key features of the Merto ...
C:\papers\ee\loss\papers\Expected Utility Theory and Prospect
... in macroeconomics, and argues that “... it is clear that the ‘representative’ agent deserves a decent burial, as an approach to economics analysis that is not only primitive, but fundamentally erroneous.” The “funeral” we offer arises from the ability to identify which individual or task characteri ...
... in macroeconomics, and argues that “... it is clear that the ‘representative’ agent deserves a decent burial, as an approach to economics analysis that is not only primitive, but fundamentally erroneous.” The “funeral” we offer arises from the ability to identify which individual or task characteri ...
here
... what to do without necessarily knowing what their opponents will do. Under certainty, decision-making is straightforward; one simply chooses the course of action that leads to the most preferred outcome. Under uncertainty, however, a player must evaluate many possible outcomes in a manner that someh ...
... what to do without necessarily knowing what their opponents will do. Under certainty, decision-making is straightforward; one simply chooses the course of action that leads to the most preferred outcome. Under uncertainty, however, a player must evaluate many possible outcomes in a manner that someh ...
Modelling Noise and Imprecision in Individual Decisions Graham
... (EU) maximiser may, within each state of mind, always weight the utilities of different payoffs by their respective probabilities; but different states of mind may be characterised by different utility functions, sometimes more concave, sometimes less concave or even on occasions convex, reflecting ...
... (EU) maximiser may, within each state of mind, always weight the utilities of different payoffs by their respective probabilities; but different states of mind may be characterised by different utility functions, sometimes more concave, sometimes less concave or even on occasions convex, reflecting ...