Publications associées à Ambiguity aversion

International Portfolio Choice with Frictions: Evidence from Mutual Funds

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

Reliability analysis and partial safety format calibration considering the characteristics of the resistance of reinforced concrete structures

Qianhui Yu

Every engineering calculation is an approximation of reality, with inevitable uncertainties involved. This fact implies that a reliability verification accounting for the uncertainties is a necessary step in the design and assessment of structures. Nowaday ...

EPFL2023

Distributionally Robust Mechanism Design

Daniel Kuhn, Cagil Kocyigit, Wolfram Wiesemann

We study a mechanism design problem where an indivisible good is auctioned to multiple bidders, for each of whom it has a private value that is unknown to the seller and the other bidders. The agents perceive the ensemble of all bidder values as a random v ...

2020

Distributional Robustness in Mechanism Design

Cagil Kocyigit

Mechanism design theory examines the design of allocation mechanisms or incentive systems involving multiple rational but self-interested agents and plays a central role in many societally important problems in economics. In mechanism design problems, agen ...

EPFL2020

Pessimistic outcome expectancy does not explain ambiguity aversion in decision-making under uncertainty

Martin Alois Rohrmeier

When faced with a decision, most people like to know the odds and prefer to avoid ambiguity. It has been suggested that this aversion to ambiguity is linked to people's assumption of worst possible outcomes. We used two closely linked behavioural tasks in ...

Nature Research2019

"Dice"-sion Making under Uncertainty: When Can a Random Decision Reduce Risk?

Daniel Kuhn, Wolfram Wiesemann

Stochastic programming and distributionally robust optimization seek deterministic decisions that optimize a risk measure, possibly in view of the most adverse distribution in an ambiguity set. We investigate under which circumstances such deterministic de ...

2019

Adversarial Analytics

Viet Anh Nguyen

Adversarial learning is an emergent technique that provides better security to machine learning systems by deliberately protecting them against specific vulnerabilities of the learning algorithms. Many adversarial learning problems can be cast equivalently ...

EPFL2019

Robust auction design under multiple priors by linear and integer programming

Cagil Kocyigit

It is commonly assumed in the optimal auction design literature that valuations of buyers are independently drawn from a unique distribution. In this paper we study auctions under ambiguity, that is, in an environment where valuation distribution is uncert ...

2018

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

Maria del Carmen Sandi Perez, Samuel Bendahan, Leyla Loued-Khenissi, Fiona Hollis, 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

Caching of Bivariate Gaussians with Non-Uniform Preference Probabilities

Michael Christoph Gastpar, Guillaume Jean Op 't Veld

Caching is technique that alleviates networks during peak hours by transmitting partial information before a request for any is made. We study this method in a lossy source coding setting with Gaussian databases. A good caching strategy minimizes the data ...

2017