نتایج جستجو برای: risk averse behavior
تعداد نتایج: 1513126 فیلتر نتایج به سال:
Abstract We present a polynomial-time online algorithm for maximizing the conditional value at risk (CVaR) of monotone stochastic submodular function. Given T i.i.d. samples from an underlying distribution arriving online, our produces sequence solutions that converges to ( $$1-1/e$$ 1 - <mml:...
Traditional inventory models focus on risk neutral decision makers, i.e., characterizing replenishment strategies that maximize expected total profit, or equivalently, minimize expected total cost over a planning horizon. In this paper, we propose a general framework for incorporating risk aversion in multi-period inventory models as well as multi-period models that coordinate inventory and pri...
Risk-averse optimization has attracted much attention in nite-dimensional stochastic programming. In this paper, we propose a risk-averse approach in the in nite dimensional context of shape optimization. We consider elastic materials under stochastic loading. As measures of risk awareness we investigate the expected excess and the excess probability. The developed numerical algorithm is based ...
We define a risk-averse nonanticipative feasible policy for multistage stochastic programs and propose a methodology to implement it. The approach is based on dynamic programming equations written for a risk-averse formulation of the problem. This formulation relies on a new class of multiperiod risk functionals called extended polyhedral risk measures. Dual representations of such risk functio...
In some competitive situations under uncertainty, less risk averse competitors have an advantage over more risk averse opponents. Private information acquisition by the advantaged players diminishes this advantage by reducing the risk faced by their opponents in a Nash equilibrium. This tradeoff between risk advantages and informational advantages is examined in the context of a duopoly model w...
A simple dynamic model of agent operation of an infrastructure system is presented. This system evolves over a long time scale by a daily increase in consumer demand that raises the overall load on the system and an engineering response to failures that involves upgrading of the components. The system is controlled by adjusting the upgrading rate of the components and the replacement time of th...
We study the risk attitudes of an important segment of the economy: managers. We conduct artefactual field experiments with 130 managers from 12 industrial companies. Our analysis is particularly careful to evaluate alternative models of decision-making under risk. In general, we find that the managers in our sample are moderately risk averse. Assuming a standard EUT model they exhibit similar ...
We study experimentally the relationship between distributional preferences and competitive behavior. We find that spiteful subjects react strongest to competitive pressure and win in a tournament significantly more often than efficiency-minded and inequality averse subjects. However, when given the choice between a tournament and a piece rate scheme, efficiency-minded subjects choose the tourn...
We consider a production planning problem under uncertainty in which companies have to make product allocation decisions such that the risk of failing regulatory inspections of sites and consequently losing revenue is minimized. In the proposed decision model the regulatory authority is an adversary. The outcome of an inspection is a Bernoulli-distributed random variable whose parameter is a fu...
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