TITLE

Asymmetric Choquet random walks and ambiguity aversion or seeking

AUTHOR(S)
Agliardi, Rossella
PUB. DATE
December 2017
SOURCE
Theory & Decision;Dec2017, Vol. 83 Issue 4, p591
SOURCE TYPE
Academic Journal
DOC. TYPE
Article
ABSTRACT
Asymmetric Choquet random walks are defined, in the form of dynamically consistent random walks allowing for asymmetric conditional capacities. By revisiting Kast and Lapied (Dynamically consistent Choquet random walk and real investments. Document de Travail n. 2010-33, GREQAM, HAL id: halhs-00533826, 2010b) and Kast et al. (Econ Model, 38:495-503, 2014) we show that some findings regarding the effects of ambiguity aversion are preserved in the more general framework, which is of interest in several applications to policy making, risk management, corporate decisions, real option valuation of investment/ disinvestment projects, etc. The effect of ambiguity on the higher moments is investigated, as well, as they have an interpretation in terms of the psychological attitude of a decision-maker towards ambiguity. Finally, some financial applications are provided as an illustration.
ACCESSION #
126260806

 

Related Articles

  • A PURSUIT-EVASION GAME ALGORITHM BASED ON RAPID-RESPONSE VIRTUAL FORCE MODEL. JING LI; QI LI; HAITAO JIA // Journal of Theoretical & Applied Information Technology;1/10/2013, Vol. 47 Issue 1, p377 

    One-on-one pursuit evasion game is the ideal research project for optimal search of agent. Without primal information about circumstance and evasion, it is helpful of enlighten search model for suiting to evade game. Virtual Force Model is one of most common enlighten random model. But it will...

  • Coping with ignorance: unforeseen contingencies and non-additive uncertainty. Ghirardato, Paolo // Economic Theory;2001, Vol. 17 Issue 2, p247 

    Summary. In real-life decision problems, decision makers are never provided with the necessary background structure: the set of states of the world, the outcome space, the set of actions. They have to devise all these by themselves. I model the (static) choice problem of a decision maker (DM)...

  • A decade of application of the Choquet and Sugeno integrals in multi-criteria decision aid. Grabisch, Michel; Labreuche, Christophe // Annals of Operations Research;Mar2010, Vol. 175 Issue 1, p247 

    The main advances regarding the use of the Choquet and Sugeno integrals in multi-criteria decision aid over the last decade are reviewed. They concern mainly a bipolar extension of both the Choquet integral and the Sugeno integral, interesting particular submodels, new learning techniques, a...

  • Ordinal Preference Models Based on S-Integrals. Sugeno, Michio // International Journal of Intelligent Technologies & Applied Stat;2011, Vol. 4 Issue 4, p431 

    This paper discusses the ordinal preference models based on S-integrals. In parallel with the cardinal preference models based on Choquet integrals, there are various S-integrals: S-integral, SS-integral, CPTS-integral and BCS-integral. First, we verify the ordinal models. To this aim, two...

  • Choices Under Ambiguity With Familiar And Unfamiliar Outcomes. Basili, Marcello; Chateauneuf, Alain; Fontini, Fulvio // Theory & Decision;Mar2005, Vol. 58 Issue 2, p195 

    This paper considers a decision-making process under ambiguity in which the decision-maker is supposed to split outcomes between familiar and unfamiliar ones. She is assumed to behave differently with respect to unfamiliar gains, unfamiliar losses and customary (familiar) outcomes. In...

  • Generalized Hesitant Fuzzy Generalized Shapley-Choquet Integral Operators and Their Application in Decision Making. Fanyong Meng; Xiaohong Chen; Qiang Zhang // International Journal of Fuzzy Systems;Sep2014, Vol. 16 Issue 3, p400 

    In this paper, two generalized hesitant fuzzy generalized Shapley-Choquet integral operators are defined, which globally consider the importance of elements in a set, and the correlations among them. Some important special cases are examined. An improvement order relationship between hesitant...

  • Dealing with interaction between bipolar multiple criteria preferences in PROMETHEE methods. Corrente, Salvatore; Figueira, José; Greco, Salvatore // Annals of Operations Research;Jun2014, Vol. 217 Issue 1, p137 

    In this paper we extend the PROMETHEE methods to the case of interacting criteria on a bipolar scale, introducing the bipolar PROMETHEE method based on the bipolar Choquet integral. In order to elicit parameters compatible with preference information provided by the Decision Maker (DM), we...

  • Random Walks and Voting Theory. Vieille, Nicolas // Mathematics of Operations Research;Feb2004, Vol. 29 Issue 1, p106 

    Voters' preferences depend on available information. Following Case-Based Decision Theory, we assume that this information is processed additively. We prove that the collective preferences deduced from the individual ones through majority vote cannot be arbitrary, as soon as a winning quota is...

  • M/M/1 Queueing Decision Processes with Monotone Hysteretic Optimal Policies. Lu, F.V.; Sefifozo, R. F. // Operations Research;Sep/Oct84, Vol. 32 Issue 5, p1116 

    This paper studies an M/M/1 queueing decision process in which the arrival and service rates are chosen from a finite set whenever the queue length changes. Each choice has a switching cost depending on the chosen rates and those currently in use, and a usage cost depending on the chosen rates...

  • RANDOMIZED AND PAST-DEPENDENT POLICIES FOR MARKOV DECISION PROCESSES WITH MULTIPLE CONSTRAINTS. Ross, Keith W. // Operations Research;May/Jun89, Vol. 37 Issue 3, p474 

    The Markov decision problem of locating a policy to maximize the long-run average reward subject to K long-run average cost constraints is considered. It is assumed that the state and action spaces are finite and the law of motion is unichain, that is, every pure policy gives rise to a Markov...

Share

Read the Article

Courtesy of THE LIBRARY OF VIRGINIA

Sorry, but this item is not currently available from your library.

Try another library?
Sign out of this library

Other Topics