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Rules for Ordering Uncertain Prospects
Josef Hadar,William R Russell +1 more
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This article is published in The American Economic Review.The article was published on 1969-01-01 and is currently open access. It has received 1748 citations till now.read more
Citations
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On the Compatibility of Value at Risk, Other Risk Concepts, and Expected Utility Maximization
TL;DR: In this paper, the authors provide a critical appraisal based on comparisons with the related concepts of stochastic dominance and lower partial moments, and find that value at risk contradicts second-degree Stochastic Dominance and thus expected utility maximization for non-satiated, risk averse individuals.
Dissertation
Three Essays on the Design, Pricing, and Hedging of Insurance Contracts
TL;DR: This thesis makes use of some theoretical tools in finance, decision theory, machine learning, to improve the design, pricing and hedging of insurance contracts, and develops a stochastic gradient boosting frequency-severity model, which improves the important and popular GLM and GAM frequency-Severality models.
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The Effects of Political Institutions on the Extensive and Intensive Margins of Trade
TL;DR: In this paper, the authors present a model of political networks that integrates both the choice of trade partners and trade volumes (the intensive margin) and predict that regimes secure in their survival, including democracies as well as some consolidated authoritarian regimes, will trade more on the extensive margin than vulnerable autocracies, which will block trade in products that would expand interpersonal contact among their citizens.
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A comparison of risk efficiency criteria in evaluating groundnut performance in drought-prone areas
TL;DR: In this article, the performance of ground nuts in drought-prone areas was evaluated by estimating yield response functions to water from experimental data and combining with meteorological data to simulate yields by location.
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Portfolio selection with a minimax measure in safety constraint
Amita Sharma,Aparna Mehra +1 more
Abstract: In this paper, we attempt to design a portfolio optimization model for investors who desire to minimize the variation around the mean return and at the same time wish to achieve better return than the worst possible return realization at every time point in a single period portfolio investment. The portfolio is to be selected from the risky assets in the equity market. Since the minimax portfolio optimization model provides us with the portfolio that maximizes (minimizes) the worst return (worst loss) realization in the investment horizon period, in order to safeguard the interest of investors, the optimal value of the minimax optimization model is used to design a constraint in the mean-absolute semideviation model. This constraint can be viewed as a safety strategy adopted by an investor. Thus, our proposed bi-objective linear programming model involves mean return as a reward and mean-absolute semideviation as a risk in the objective function and minimax as a safety constraint, which enables a trade of...
References
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Book
Theory of Games and Economic Behavior
TL;DR: Theory of games and economic behavior as mentioned in this paper is the classic work upon which modern-day game theory is based, and it has been widely used to analyze a host of real-world phenomena from arms races to optimal policy choices of presidential candidates, from vaccination policy to major league baseball salary negotiations.
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Admissibility and Measurable Utility Functions
James P. Quirk,Rubin Saposnik +1 more
Book ChapterDOI
Ordered Families of Distributions
TL;DR: In this article, a comparison is made of several definitions of ordered sets of distributions, some of which were introduced earlier by the author [7], [8] and by Rubin [10], and the results are applied to obtaining tests that give a certain guaranteed power with a minimum number of observations.
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Dynamic Inventory Policy with Varying Stochastic Demands
TL;DR: In this article, a dynamic inventory model is formulated in which the demand distributions may change from period to period, and the optimal policy at each stage is characterized by a single critical number which also could vary in successive periods.