OPER: Single Decision Maker (Topic)最新文献

Trading Time Seasonality in Commodity Futures: An Opportunity for Arbitrage in the Natural Gas and Crude Oil Markets? 商品期货交易时间的季节性:天然气和原油市场的套利机会?

OPER: Single Decision Maker (Topic) Pub Date : 2021-02-24 DOI: 10.2139/ssrn.3792028

C. Ewald, Erik Haugom, Gudbrand Lien, S. Størdal, Yuexiang Wu

引用次数: 4

The Curse of Knowledge: Having Access to Customer Information Can Reduce Monopoly Profits 知识的诅咒:获得客户信息可以降低垄断利润

OPER: Single Decision Maker (Topic) Pub Date : 2019-02-25 DOI: 10.2139/ssrn.3352381

D. Laussel, Ngo van Long, J. Resende

引用次数: 6

Is Expected Utility an Ex-Hypothesis? Some Implications of Reference-Dependent Expected Utility Model 期望效用是前假设吗?参考依赖型期望实用新型的几点启示

OPER: Single Decision Maker (Topic) Pub Date : 2017-11-03 DOI: 10.2139/ssrn.3064682

Michał Lewandowski

{"title":"Is Expected Utility an Ex-Hypothesis? Some Implications of Reference-Dependent Expected Utility Model","authors":"Michał Lewandowski","doi":"10.2139/ssrn.3064682","DOIUrl":"https://doi.org/10.2139/ssrn.3064682","url":null,"abstract":"Rabin and Thaler (2001) declared Expected Utility an ex-hypothesis or a dead parrot alluding to the famous sketch from Monthy Pythons Flying Circus. Following Cox and Sadiraj (2006) and others, one should distinguish between Expected Utility (EU) theory (a purely mathematical theory based on axioms) and Expected Utility models (EU theory plus a given economic interpretation). The most prevalent EU model is one that assumes consequentialism (Rubinstein, 2012). Consequentialism states that the decision maker has a single binary preference relation comparing probability distributions over final wealth levels. Preference relations over wealth changes for different levels of wealth are derived from this single preference relation. EU theory plus consequentialism is referred to as the standard EU model. It is argued that most of the critique against EU is against the standard EU model, or against consequentialism. We replace consequentialism with reference-dependence, retaining the EU hypothesis. Using Sugden (2003) framework, we show that many violations of the standard EU model can be explained assuming this different interpretation. Among the topics considered are: WTA/WTP disparity, preference reversal, complementary symmetry, preference homogeneity, loss aversion, reflection effect and the coexistence of insurance and gambling.","PeriodicalId":308717,"journal":{"name":"OPER: Single Decision Maker (Topic)","volume":"227 4","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-11-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"113972341","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 4

Revenue Maximization Under Two-Dimensional Buyers with Type Uncertainty Using Dynamic Mechanism Design 基于动态机制设计的二维买家类型不确定下的收益最大化

OPER: Single Decision Maker (Topic) Pub Date : 2013-10-01 DOI: 10.2139/ssrn.2392849

Chaitanya Kaligotla

引用次数: 0

Decisions, Stocks, and Time Diversification 决策、股票和时间分散

OPER: Single Decision Maker (Topic) Pub Date : 2013-07-22 DOI: 10.2139/ssrn.2172483

D. McLeavey, Sébastien Lleo

引用次数: 0

Pattern-Based Modeling and Solution of Probabilistically Constrained Optimization Problems 基于模式的概率约束优化问题建模与求解

OPER: Single Decision Maker (Topic) Pub Date : 2012-09-01 DOI: 10.2139/ssrn.1662685

M. Lejeune

{"title":"Pattern-Based Modeling and Solution of Probabilistically Constrained Optimization Problems","authors":"M. Lejeune","doi":"10.2139/ssrn.1662685","DOIUrl":"https://doi.org/10.2139/ssrn.1662685","url":null,"abstract":"We propose a new modeling and solution method for probabilistically constrained optimization problems. The methodology is based on the integration of the stochastic programming and combinatorial pattern recognition fields. It permits the fast solution of stochastic optimization problems in which the random variables are represented by an extremely large number of scenarios. The method involves the binarization of the probability distribution and the generation of a consistent partially defined Boolean function pdBf representing the combination F,p of the binarized probability distribution F and the enforced probability level p. We show that the pdBf representing F,p can be compactly extended as a disjunctive normal form DNF. The DNF is a collection of combinatorial p-patterns, each defining sufficient conditions for a probabilistic constraint to hold. We propose two linear programming formulations for the generation of p-patterns that can be subsequently used to derive a linear programming inner approximation of the original stochastic problem. A formulation allowing for the concurrent generation of a p-pattern and the solution of the deterministic equivalent of the stochastic problem is also proposed. The number of binary variables included in the deterministic equivalent formulation is not an increasing function of the number of scenarios used to represent uncertainty. Results show that large-scale stochastic problems, in which up to 50,000 scenarios are used to describe the stochastic variables, can be consistently solved to optimality within a few seconds.","PeriodicalId":308717,"journal":{"name":"OPER: Single Decision Maker (Topic)","volume":"14 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127677999","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 73

A Note on Confidence Momentum and Term Structure of Confidence with Applications to Financial Markets 信心动量和信心期限结构在金融市场中的应用

OPER: Single Decision Maker (Topic) Pub Date : 2012-04-15 DOI: 10.2139/ssrn.2003319

G. Charles-Cadogan

{"title":"A Note on Confidence Momentum and Term Structure of Confidence with Applications to Financial Markets","authors":"G. Charles-Cadogan","doi":"10.2139/ssrn.2003319","DOIUrl":"https://doi.org/10.2139/ssrn.2003319","url":null,"abstract":"This note is based on a recent confidence index introduced in the context of compensating probability factors for deviations of subjective probability measures from equivalent martingale measures. The index is adjusted for loss gain probability spreads, and it explains momentum in confidence. We use the index to introduce a confidence matrix operator which shows how a subject transforms gain domain into fear of loss. So she is loss averse or risk averse. By contrast, the adjoint confidence matrix operator is an Euclidean motion which rotates and reverses loss domain into hope of gain. Thus, signifying risk seeking over loss domains in hope of gain. Simulation of the model shows that the distribution of prior loss [gain] probabilities is a predictor of confidence momentum and fields of confidence. Moreover, our field theory of confidence mimics a sample of Gallup Monthly Economic Confidence Index, and depicts a term structure of confidence for hope and fear. It plainly shows that the growth rate of Gallup Economic Confidence Index -- which is highly correlated with popular confidence indexes like UBS/Gallup Investor Optimism Index; Michigan Consumer Confidence Index; and Yale Investor Confidence Index -- predict bubbles and crashes.","PeriodicalId":308717,"journal":{"name":"OPER: Single Decision Maker (Topic)","volume":"16 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-04-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125618532","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Competing Against Oneself in Sealed-Bid Combinatorial Auctions 在密封出价组合拍卖中与自己竞争

OPER: Single Decision Maker (Topic) Pub Date : 2012-03-14 DOI: 10.2139/ssrn.1941814

Natalia Santamaría

引用次数: 3

Effects of Government Credit on Investment Efficiency in the Presence of Adverse Selection 逆向选择下政府信用对投资效率的影响

OPER: Single Decision Maker (Topic) Pub Date : 2011-03-25 DOI: 10.2139/ssrn.1091569

Sangkyu Park

引用次数: 1