Publications related to 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

A Distributionally Robust Perspective on Uncertainty Quantification and Chance Constrained Programming

Daniel Kuhn, Grani Adiwena Hanasusanto, Wolfram Wiesemann

The objective of uncertainty quantification is to certify that a given physical, engineering or economic system satisfies multiple safety conditions with high probability. A more ambitious goal is to actively influence the system so as to guarantee and mai ...

Springer Verlag2015

Risk and Reward Preferences under Time Pressure

Anjali Devi Vanapilli Nursimulu

Financial decision making under time pressure, though ubiquitous, is poorly understood; classical and behavioral finance are silent about the time required for a decision to be made. In an experiment, calibrating allowable decision times to 1, 3, and 5 s, ...

Oxford Univ Press2014

Real options and risk aversion

Erwan Morellec, Julien Hugonnier

In the standard real options approach to investment under uncertainty, agents formulate optimal policies under the assumptions of risk neutrality or complete financial markets. Although these assumptions are crucial to the implications of the approach, the ...

2012

Risk, Unexpected Uncertainty, and Estimation Uncertainty: Bayesian Learning in Unstable Settings

Recently, evidence has emerged that humans approach learning using Bayesian updating rather than (model-free) reinforcement algorithms in a six-arm restless bandit problem. Here, we investigate what this implies for human appreciation of uncertainty. In ou ...

2011

Ambiguity in Asset Markets: Theory and Experiment

This paper studies the impact of ambiguity and ambiguity aversion on equilibrium asset prices and portfolio holdings in competitive financial markets. It argues that attitudes toward ambiguity are heterogeneous across the population, just as attitudes towa ...

2010

Essays on Equilibrium Asset Pricing

Rodolfo Javier Prieto Katunaric

This thesis consists of three chapters. The first chapter endogenizes technological change by introducing a stylized innovation process driven by a R&D–dependent Poisson process in a Cox, Ingersoll and Ross (1985) production economy. The model reproduces s ...

EPFL2010

Neural Correlates of Value, Risk, and Risk Aversion Contributing to Decision Making under Risk

Decision making under risk is central to human behavior. Economic decision theory suggests that value, risk, and risk aversion influence choice behavior. Although previous studies identified neural correlates of decision parameters, the contribution of the ...

2009

Essays on individual decision making under uncertainty

Elise Le Nestour

This research project is an experimental study of decision-making in very difficult contexts resembling those encountered in financial markets. The starting point was the empirical observation that financial assets are objects of a very complex kind. Speci ...

EPFL2009

Long Run Forward Rates and Long Yields of Bonds and Options in Heterogeneous Equilibria

Semyon Malamud

We prove that, in a heterogeneous economy with scale-invariant utilities, the yield of a long term bond is determined by the agent with maximal expected marginal utility. We also prove that the same result holds for the long term forward rates. Furthermore ...

2008

Risk Aversion in Laboratory Asset Markets

We review the use of behavior from television game shows to infer risk attitudes. These shows provide evidence when contestants are making decisions over very large stakes, and in a replicated, structured way. Inferences are generally confounded by the sub ...

JAI Press, Research in Experimental Economics2008