Beyond exponential utility functions: A variance-adjusted approach for risk-averse reinforcement learning

2014 ◽  
Author(s):  
Abhijit A. Gosavi ◽  
Sajal K. Das ◽  
Susan L. Murray
Keyword(s):  
Reinforcement Learning ◽  
Utility Functions ◽  
Exponential Utility ◽  
Risk Averse

scholarly journals The General Economic Premium Principle

1984 ◽  
Vol 14 (1) ◽  
pp. 13-21 ◽  
Author(s):  
Hans Bühlmann
Keyword(s):  
Risk Aversion ◽  
Utility Functions ◽  
Exponential Utility ◽  
Risk Averse ◽  
Existence Of Equilibrium ◽  
Easy Proof ◽  
Quantitative Results

AbstractWe give an extension of the Economic Premium Principle treated in Astin Bulletin, Volume 11 where only exponential utility functions were admitted. The case of arbitrary risk averse utility functions leads to similar quantitative results. The role of risk aversion in the treatment is essential. It also permits an easy proof for the existence of equilibrium.

scholarly journals Estimation of Approximate Values of the Optimum Points on Efficient Portfolios Curve

2007 ◽  
Vol 6 (1) ◽  
pp. 99-106
Author(s):  
Henryk Kowgier
Keyword(s):  
Utility Functions ◽  
Exponential Utility ◽  
Efficient Portfolios

Estimation of Approximate Values of the Optimum Points on Efficient Portfolios Curve In the paper a method is found for estimating approximate optimum points on efficient portfolios curve (risk-profit) that are connected with exponential utility functions being very frequently preferred in practice by investors.

STOCHASTIC DOMINANCE AND BEHAVIOR TOWARDS RISK: THE MARKET FOR ISHARES

2012 ◽  
Vol 07 (01) ◽  
pp. 1250005 ◽  
Author(s):  
DOMINIC GASBARRO ◽  
WING-KEUNG WONG ◽  
J. KENTON ZUMWALT
Keyword(s):  
Stochastic Dominance ◽  
Utility Functions ◽  
Investor Behavior ◽  
Risk Averse ◽  
Risk Seeking ◽  
Bull Markets ◽  
Seeking Behavior ◽  
Return Distributions ◽  
And Behavior ◽  
Positive Return

Prospect theory suggests that risk seeking can occur when investors face losses and thus an S-shaped utility function can be useful in explaining investor behavior. Using stochastic dominance procedures, Post and Levy (2015) find evidence of reverse S-shaped utility functions. This is consistent with investors exhibiting risk-seeking tendencies in bull markets and risk aversion in bear markets. We use both ascending and descending stochastic dominance procedures to test for risk-averse and risk-seeking behavior. By partitioning iShares' return distributions into negative and positive return regions, we find evidence of all four utility functions: concave, convex, S-shaped and reverse S-shaped.

scholarly journals Efficiency, equity, and social rationality under uncertainty

2021 ◽  
Author(s):  
Kaname Miyagishima
Keyword(s):  
Simple Model ◽  
Social Welfare ◽  
Expected Utility ◽  
Risk Preferences ◽  
Utility Functions ◽  
Subjective Expected Utility ◽  
Risk Averse ◽  
Social Rationality ◽  
Certainty Equivalents ◽  
Ex Post

AbstractIn a simple model where agents’ monetary payoffs are uncertain, this paper examines the aggregation of subjective expected utility functions which are interpersonally noncomparable. A maximin social welfare criterion is derived from axioms of efficiency, ex post equity, and social rationality, combined with the independence of beliefs and risk preferences in riskless situations (Chambers and Echenique in Games Econ Behav 76:582–595, 2012). The criterion compares allocations by the values of the prospects composed of the statewise minimum payoffs evaluated by the certainty equivalents. Because of this construction, the criterion is egalitarian and risk averse.

scholarly journals Option hedging with risk averse reinforcement learning

2020 ◽  
Author(s):  
Edoardo Vittori ◽  
Michele Trapletti ◽  
Marcello Restelli
Keyword(s):  
Reinforcement Learning ◽  
Risk Averse ◽  
Option Hedging
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