Search results for " utility"
showing 10 items of 74 documents
Climate Change, Uncertainty and Ethical Superstorms
2021
I argue that one of the most urgent tasks of geoethics is how to deal with climate change in a just and equitable way. At worst, our current path could lead to multi-metre sea-level rise, increases in storms and climate extremes, causing devastating social disruption and economic consequences. I present some alternatives on how to handle this alarming prospect, arguing that we cannot condense our decision-making on climate change into numerical calculations, but should instead make ethical judgements. The commonly used expected utility maximation can be considered a gamble on future generations’ expense for the benefit of the current ones. Thus, from a Rawlsian perspective, we will instead …
A Generalization of the Mean-Variance Analysis
2008
In this paper we consider a decision maker whose utility function has a kink at the reference point with different functions below and above this reference point. We also suppose that the decision maker generally distorts the objective probabilities. First we show that the expected utility function of this decision maker can be approximated by a function of mean and partial moments of distribution. This "mean-partial moments" utility generalizes not only the mean-variance utility of Tobin and Markowitz, but also the mean-semivariance utility of Markowitz. Then, in the spirit of Arrow and Pratt, we derive an expression for a risk premium when risk is small. Our analysis shows that a decision…
Rubinstein-Taybi syndrome (CREBBP, EP300)
2011
1.2 OMIM# of the disease180849.1.3 Name of the analyzed genes or DNA/chromosome segmentsCREBBP, EP300 (E1A binding protein p300).1.4 OMIM# of the genes600140 (CREBBP), 602700 (EP300).1.5 Mutational spectrumMainly frameshift, nonsense, splice site and missense mutations. Lessfrequently large deletions (one or more exons) and rarely balancedinversions and translocations. Mutations are heterozygous, and mosaicmutations have been described. At present, more than 100 pathogenicmutations are known for the two genes together, but mutations inEP300 are much less common (only 11 so far).
Vertical take-off and landing air transport to provide tourist mobility.
2012
Abstract This paper examines helicopter transfer services to reach attractive and not very accessible tourist areas, taking Sicily and its minor islands, in the South of Italy, as a case study. We investigate the viability of helicopter scheduled services for tourists moving from/to airports or doing one day tours to visit far away places. The mode choice of tourists is simulated using random utility models employing stated preference data. Heli-shuttle service is planned in terms of fleet size, frequency, fare and location pattern of heliports. The paper also analyses how a public subsidy reducing fares might change the set of feasible connections.
Discrete Time Portfolio Selection with Lévy Processes
2007
This paper analyzes discrete time portfolio selection models with Lévy processes. We first implement portfolio models under the hypotheses the vector of log-returns follow or a multivariate Variance Gamma model or a Multivariate Normal Inverse Gaussian model or a Brownian Motion. In particular, we propose an ex-ante and an ex-post empirical comparisons by the point of view of different investors. Thus, we compare portfolio strategies considering different term structure scenarios and different distributional assumptions when unlimited short sales are allowed.
Non-cooperative Aerial Base Station Placement via Stochastic Optimization
2019
Autonomous unmanned aerial vehicles (UAVs) with on-board base station equipment can potentially provide connectivity in areas where the terrestrial infrastructure is overloaded, damaged, or absent. Use cases comprise emergency response, wildfire suppression, surveillance, and cellular communications in crowded events to name a few. A central problem to enable this technology is to place such aerial base stations (AirBSs) in locations that approximately optimize the relevant communication metrics. To alleviate the limitations of existing algorithms, which require intensive and reliable communications among AirBSs or between the AirBSs and a central controller, this paper leverages stochastic…
A Generalisation of the Mean-Variance Analysis
2009
In this paper we consider a decision maker whose utility function has a kink at the reference point with different functions below and above this reference point. We also suppose that the decision maker generally distorts the objective probabilities. First we show that the expected utility function of this decision maker can be approximated by a function of mean and partial moments of distribution. This ‘mean-partial moments’ utility generalises not only mean-variance utility of Tobin and Markowitz, but also mean-semivariance utility of Markowitz. Then, in the spirit of Arrow and Pratt, we derive an expression for a risk premium when risk is small. Our analysis shows that a decision maker i…
A Neo2 bayesian foundation of the maxmin value for two-person zero-sum games
1994
A joint derivation of utility and value for two-person zero-sum games is obtained using a decision theoretic approach. Acts map states to consequences. The latter are lotteries over prizes, and the set of states is a product of two finite sets (m rows andn columns). Preferences over acts are complete, transitive, continuous, monotonie and certainty-independent (Gilboa and Schmeidler (1989)), and satisfy a new axiom which we introduce. These axioms are shown to characterize preferences such that (i) the induced preferences on consequences are represented by a von Neumann-Morgenstern utility function, and (ii) each act is ranked according to the maxmin value of the correspondingm × n utility …
Portfolio optimisation with strictly positive transaction costs and impulse control
1998
One crucial assumption in modern portfolio theory of continuous-time models is the no transaction cost assumption. This assumption normally leads to trading strategies with infinite variation. However, following such a strategy in the presence of transaction costs will lead to immediate ruin. We present an impulse control approach where the investor can change his portfolio only finitely often in finite time intervals. Further, we consider transaction costs including a fixed and a proportional cost component. For the solution of the resulting control problems we present a formal optimal stopping approach and an approach using quasi-variational inequalities. As an application we derive a non…
A Unified Approach to Portfolio Optimization with Linear Transaction Costs
2004
In this paper we study the continuous time optimal portfolio selection problem for an investor with a finite horizon who maximizes expected utility of terminal wealth and faces transaction costs in the capital market. It is well known that, depending on a particular structure of transaction costs, such a problem is formulated and solved within either stochastic singular control or stochastic impulse control framework. In this paper we propose a unified framework, which generalizes the contemporary approaches and is capable to deal with any problem where transaction costs are a linear/piecewise-linear function of the volume of trade. We also discuss some methods for solving numerically the p…