Critères de choix en avenir incertain : ébauche d'un algorithme d'optimisation
Decisiones en incertidumbre con multiatributos.
This paper gives a formalization of the relation between the Debreu's value function and the Von Neumann's utility function, with a generalization of this result for their respective vectorial functions. Finally the problem of incorporating complementary information is considered.
Design of a Participatory Decision Making Agent Architecture Based on Argumentation and Influence Function – Application to a Serious Game about Biodiversity Conservation
This paper addresses an ongoing experience in the design of an artificial agent taking decisions and combining them with the decisions taken by human agents. The context is a serious game research project, aimed at computer-based support for participatory management of protected areas (and more specifically national parks) in order to promote biodiversity conservation and social inclusion. Its objective is to help various stakeholders (e.g., environmentalist, tourism operator) to collectively understand...
Dominances stochastiques pour deux classes de fonctions d'utilité : concaves et convexes
Erweitertes BERNOULLI-Prinzip und Petersburger Spiel
Estudio de una medida para la incertidumbre correspondiente a las utilidades.
En este trabajo se propone y estudia una medida para la incertidumbre correspondiente a las utilidades, o inquietud. Este concepto recibe por vez primera un tratamiento matemático. En la etapa inicial del trabajo se consideran conjuntos constituidos por resultados elementales, y en una segunda etapa se consideran conjuntos constituidos por pares de resultados.
Evaluación multiatributo con información parcial sobre las referencias.
En este trabajo consideramos el problema de la evaluación multiatributo en términos de una función de valor vectorial que conduce a un espacio de criterios en el que suponemos es posible obtener información parcial secuencial sobre las preferencias la cual se traduce en conos definidos sobre el espacio de criterios. También consideramos dentro del esquema señalado la situación en la cual el decisor parte de un subconjunto del conjunto total de decisiones, introduciendo el conjunto K-eficiente aproximado...
Expected utility maximization and conditional value-at-risk deviation-based Sharpe ratio in dynamic stochastic portfolio optimization
In this paper we investigate the expected terminal utility maximization approach for a dynamic stochastic portfolio optimization problem. We solve it numerically by solving an evolutionary Hamilton-Jacobi-Bellman equation which is transformed by means of the Riccati transformation. We examine the dependence of the results on the shape of a chosen utility function in regard to the associated risk aversion level. We define the Conditional value-at-risk deviation () based Sharpe ratio for measuring...
Expected utility with pseudotransitive preferences.
Exponential utility optimization, indifference pricing and hedging for a payment process
We deal with pricing and hedging for a payment process. We investigate a Black-Scholes financial market with stochastic coefficients and a stream of liabilities with claims occurring at random times, continuously over the duration of the contract and at the terminal time. The random times of the claims are generated by a random measure with a stochastic intensity of jumps. The claims are written on the asset traded in the financial market and on the non-tradeable source of risk driven by the random...
Extension of stochastic dominance theory to random variables
Extension of stochastic dominance theory to random variables
In this paper, we develop some stochastic dominance theorems for the location and scale family and linear combinations of random variables and for risk lovers as well as risk averters that extend results in Hadar and Russell (1971) and Tesfatsion (1976). The results are discussed and applied to decision-making.
Funciones de utilidad-compromiso: hipótesis, teorema fundamental y un caso estudio
Hasta ahora, la teoría de la utilidad y la programación compromiso (CP) se han considerado como diferentes paradígmas y metodologías para medir preferencias así como para determinar una decisión óptima sobre una frontera eficiente. Sin embargo, en este artículo demostramos que una función de utilidad con independencia aditiva (expandida alrededor del punto ideal) es reducible a la suma ponderada de las distancias CP conmetricas desde 1 a infinito. Este enlace entre utilidad y compromiso se fundamenta...
Généralisation du critère de l'utilité espérée aux choix dans l'incertain régulier
Kurepa's functional equation on semigroups.
The functional equation to which the title refers is:F(x,y) + F(xy,z) = F(x,yz) + F(y,z),where x, y and z are in a commutative semigroup S and F: S x S --> X with (X,+) a divisible abelian group (Divisibility means that for any y belonging to X and natural number n there exists a (unique) solution x belonging to X to nx = y).
Maximum Entropy and Utility in a Transportation System
Mean variance and goal achieving portfolio for discrete-time market with currently observable source of correlations
The paper studies optimal portfolio selection for discrete time market models in mean-variance and goal achieving setting. The optimal strategies are obtained for models with an observed process that causes serial correlations of price changes. The optimal strategies are found to be myopic for the goal-achieving problem and quasi-myopic for the mean variance portfolio.
Méthode d'estimation d'utilités additives concaves en programmation linéaire multiobjectifs
Modélisation des préférences et quasi-ordres. Avant-propos
Multivariate stochastic dominance for multivariate normal distribution
Stochastic dominance is widely used in comparing two risks represented by random variables or random vectors. There are general approaches, based on knowledge of distributions, which are dedicated to identify stochastic dominance. These methods can be often simplified for specific distribution. This is the case of univariate normal distribution, for which the stochastic dominance rules have a very simple form. It is however not straightforward if these rules are also valid for multivariate normal...