Concept

Hyperbolic absolute risk aversion

Publications associées (30)

The Least Increasing Aversion (LIA) Protocol: Illustration on Identifying Individual Susceptibility to Cybersickness Triggers

This paper introduces the Least Increase aversion (LIA) protocol to investigate the relative impact of factors that may trigger cybersickness. The protocol is inspired by the Subjective Matching methodology (SMT) from which it borrows the incremental const ...

2024

International Portfolio Choice with Frictions: Evidence from Mutual Funds

Simon Tièche

Using data on international equity portfolio allocations by U.S. mutual funds, we estimate a portfolio expression derived from a standard mean-variance portfolio model extended with portfolio frictions. The optimal portfolio depends on the previous month a ...

OXFORD UNIV PRESS INC2023

Multi-agent Learning with Privacy Guarantees

Elsa Rizk

A multi-agent system consists of a collection of decision-making or learning agents subjected to streaming observations from some real-world phenomenon. The goal of the system is to solve some global learning or optimization problem in a distributed or dec ...

EPFL2023

Illiquidity and Higher Cumulants

Semyon Malamud, Alberto Mokak Teguia

We characterize the unique equilibrium in an economy populated by strategic CARA investors who trade multiple risky assets with arbitrarily distributed payoffs. We use our explicit solution to study the joint behavior of illiquidity of option contracts. Op ...

OXFORD UNIV PRESS INC2022

Bayesian estimation of mixed multinomial logit models: Advances and simulation-based evaluations

Michel Bierlaire, Prateek Bansal

Variational Bayes (VB) methods have emerged as a fast and computationally-efficient alternative to Markov chain Monte Carlo (MCMC) methods for scalable Bayesian estimation of mixed multinomial logit (MMNL) models. It has been established that VB is substan ...

PERGAMON-ELSEVIER SCIENCE LTD2020

Acute stress alters individual risk taking in a time-dependent manner and leads to anti-social risk

Maria del Carmen Sandi Perez, Samuel Bendahan, Fiona Hollis, Leyla Loued-Khenissi, John Christian Thoresen, Lorenz Goette

Decision-making processes can be modulated by stress, and the time elapsed from stress induction seems to be a crucial factor in determining the direction of the effects. Although current approaches consider the ﬁrst post-stress hour a uniform period, the ...

2017

Blind detection of polar codes

Andreas Peter Burg, Alexios Konstantinos Balatsoukas Stimming, Pascal Giard

Polar codes were recently chosen to protect the control channel information in the next-generation mobile communication standard (5G) defined by the 3GPP. As a result, receivers will have to implement blind detection of polar coded frames in order to keep ...

2017

SmarPer: Context-Aware and Automatic Runtime-Permissions for Mobile Devices

Jean-Pierre Hubaux, Kévin Clément Huguenin, Italo Ivan Dacosta Petrocelli, Mohammad Emtiyaz Khan, Joana Catarina Soares Machado, Katarzyna Lucja Olejnik

Permission systems are the main defense that mobile platforms, such as Android and iOS, offer to users to protect their private data from prying apps. However, due to the tension between usability and control, such systems have several limitations that oft ...

IEEE2017

Optimal reinsurance with multiple tranches

Semyon Malamud

Motivated by common practices in the reinsurance industry and in insurance markets such as Lloyd's, we study the general problem of optimal insurance contracts design in the presence of multiple insurance providers. We show that the optimal risk allocation ...

Elsevier Science Sa2016

Pro Free Will Priming Enhances "Risk-Taking" Behavior in the Iowa Gambling Task, but Not in the Balloon Analogue Risk Task: Two Independent Priming Studies

Christine Mohr, Noé Thomas Elie Ohana, Alessandro Tremea

Studies indicated that people behave less responsibly after exposure to information containing deterministic statements as compared to free will statements or neutral statements. Thus, deterministic primes should lead to enhanced risk-taking behavior. We t ...

Public Library Science2016

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