Probabilistic planning models and, in particular, Markov Decision Processes (MDPs), Partially Observable Markov Decision Processes (POMDPs) and Decentralized Partially Observable Markov Decision Processes (Dec-POMDPs) have been extensively used by AI and Decision Theoretic communities for planning under uncertainty. Typically, the solvers for probabilistic planning models find policies that min...

Over sixty years ago, Markowitz introduced the mean-variance efficient frontier to finance. While mean-variance is still the predominant model in portfolio selection, it has endured many criticisms. One serious one is that it does not allow for additional criteria. The difficulty is that the efficient frontier becomes a surface. With it now possible to compute such a surface, we provide an over...

This paper gives an overview of results and developments in the area of pricing and hedging contingent claims in an incomplete market by means of a quadratic criterion. We first present the approach of risk-minimization in the case where the underlying discounted price process X is a local martingale. We then discuss the extension to local risk-minimization when X is a semimartingale and explai...

Previous studies have found that factors that improved assessment center (AC) constructrelated validity also had beneficial effects on criterion-related validity. However, some factors might have diverging effects on constructand criterion-related validity. Accordingly, we followed recent calls to evaluate constructand criterion-related validity of ACs simultaneously by examining the effects of...

This paper deals with the uncertainties present in the results of risk assessment of chemical installations and it examines their implications to land-use planning decisions. In particular, the results from the EU funded research project ASSURANCE are used as a case-study. Three types of land use planning approaches are considered, namely, a “consequence-based” approach, a “risk-based” using on...

Portfolio selection is concerned with optimization of capital allocation to a large number of securities. In portfolio selection, risk analysis is one of the most important topics and research on quantitative definition of risk remains core of the topic. This paper proposes a novel risk definition for portfolio selection with uncertain returns. A risk curve is introduced and a new safe criterio...

A simple normative theory is proposed for the responsible management of risks to the public. A ‘lifesaving’ alternative, if it is truly to save lives, should return to the community more years of life expectancy in good health than the years of work consumed to pay for its cost. This common-sense time principle of risk management provides a criterion for acceptable risk that is applicable in co...

We propose a quantile-based ranking and selection (R&S) procedure for comparing a finite set of stochastic systems via simulation. Our R&S procedure uses a quantile set of the simulated probability distribution of a performance characteristic of interest that best represents the most appropriate selection criterion as the basis for comparison. Since this quantile set may represent either the do...

Value-at-risk (VaR) has become the standard criterion for assessing risk in the financial industry. Given the widespread usage of VaR, it becomes increasingly important to study the effects of VaR-based risk management on the prices of stocks and options. We solve a continuous-time asset pricing model, based on Lucas (1978) and Basak and Shapiro (2001), to investigate these effects. We find tha...