Basic Geometric Dispersion Theory of Decision Making Under Risk: Asymmetric Risk Relativity, New Predictions of Empirical Behaviors, and Risk Triad

2021 ◽  
Author(s):  
Behnam Malakooti ◽  
Mohamed Komaki ◽  
Camelia Al-Najjar
Keyword(s):  
Risk Behaviors ◽  
Empirical Studies ◽  
Dispersion Theory ◽  
Dispersion Models ◽  
Decision Making Under Risk ◽  
First Order ◽  
Order Stochastic Dominance ◽  
Out Of Sample ◽  
Mean Variance ◽  
Special Case

Many studies have spotlighted significant applications of expected utility theory (EUT), cumulative prospect theory (CPT), and mean-variance in assessing risks. We illustrate that these models and their extensions are unable to predict risk behaviors accurately in out-of-sample empirical studies. EUT uses a nonlinear value (utility) function of consequences but is linear in probabilities, which has been criticized as its primary weakness. Although mean-variance is nonlinear in probabilities, it is symmetric, contradicts first-order stochastic dominance, and uses the same standard deviation for both risk aversion and risk proneness. In this paper, we explore a special case of geometric dispersion theory (GDT) that is simultaneously nonlinear in both consequences and probabilities. It complies with first-order stochastic dominance and is asymmetric to represent the mixed risk-averse and risk-prone behaviors of the decision makers. GDT is a triad model that uses expected value, risk-averse dispersion, and risk-prone dispersion. GDT uses only two parameters, z and zX; these constants remain the same regardless of the scale of risk problem. We compare GDT to several other risk dispersion models that are based on EUT and/or mean-variance, and identify verified risk paradoxes that contradict EUT, CPT, and mean-variance but are easily explainable by GDT. We demonstrate that GDT predicts out-of-sample empirical risk behaviors far more accurately than EUT, CPT, mean-variance, and other risk dispersion models. We also discuss the underlying assumptions, meanings, and perspectives of GDT and how it reflects risk relativity and risk triad. This paper covers basic GDT, which is a special case of general GDT of Malakooti [Malakooti (2020) Geometric dispersion theory of decision making under risk: Generalizing EUT, RDEU, & CPT with out-of-sample empirical studies. Working paper, Case Western Reserve University, Cleveland.].

scholarly journals The concept of stochastic dominance in ranking investment alternatives

2005 ◽  
Vol 50 (164) ◽  
pp. 135-149
Author(s):  
Dejan Trifunovic
Keyword(s):  
Stochastic Dominance ◽  
Distribution Functions ◽  
Third Order ◽  
Ranking Problem ◽  
First Order ◽  
Order Stochastic Dominance ◽  
Arbitrage Opportunities ◽  
Second Order Stochastic Dominance ◽  
Mean Variance ◽  
Almost Stochastic Dominance

In order to rank investments under uncertainty, the most widely used method is mean variance analysis. Stochastic dominance is an alternative concept which ranks investments by using the whole distribution function. There exist three models: first-order stochastic dominance is used when the distribution functions do not intersect, second-order stochastic dominance is applied to situations where the distribution functions intersect only once, while third-order stochastic dominance solves the ranking problem in the case of double intersection. Almost stochastic dominance is a special model. Finally we show that the existence of arbitrage opportunities implies the existence of stochastic dominance, while the reverse does not hold.

Assessing Medical Evidence

2018 ◽  
Author(s):  
Jacob Stegenga
Keyword(s):  
Quality Assessment ◽  
Randomized Trials ◽  
Empirical Studies ◽  
Allocation Concealment ◽  
Assessment Tools ◽  
Medical Evidence ◽  
Empirical Methods ◽  
First Order ◽  
First Order Methods

Medical scientists employ ‘quality assessment tools’ to assess evidence from medical research, especially from randomized trials. These tools are designed to take into account methodological details of studies, including randomization, subject allocation concealment, and other features of studies deemed relevant to minimizing bias. There are dozens of such tools available. They differ widely from each other, and empirical studies show that they have low inter-rater reliability and low inter-tool reliability. This is an instance of a more general problem called here the underdetermination of evidential significance. Disagreements about the quality of evidence can be due to different—but in principle equally good—weightings of the methodological features that constitute quality assessment tools. Thus, the malleability of empirical research in medicine is deep: in addition to the malleability of first-order empirical methods, such as randomized trials, there is malleability in the tools used to evaluate first-order methods.

Relativized realizability in intuitionistic arithmetic of all finite types

1978 ◽  
Vol 43 (1) ◽  
pp. 23-44 ◽  
Author(s):  
Nicolas D. Goodman
Keyword(s):  
Extension Theorem ◽  
General Notion ◽  
Conservative Extension ◽  
First Order ◽  
New Information ◽  
Reflection Theorem ◽  
Order Arithmetic ◽  
Special Case ◽  
Dependent Choice ◽  
Intuitionistic Arithmetic

In this paper we introduce a new notion of realizability for intuitionistic arithmetic in all finite types. The notion seems to us to capture some of the intuition underlying both the recursive realizability of Kjeene [5] and the semantics of Kripke [7]. After some preliminaries of a syntactic and recursion-theoretic character in §1, we motivate and define our notion of realizability in §2. In §3 we prove a soundness theorem, and in §4 we apply that theorem to obtain new information about provability in some extensions of intuitionistic arithmetic in all finite types. In §5 we consider a special case of our general notion and prove a kind of reflection theorem for it. Finally, in §6, we consider a formalized version of our realizability notion and use it to give a new proof of the conservative extension theorem discussed in Goodman and Myhill [4] and proved in our [3]. (Apparently, a form of this result is also proved in Mine [13]. We have not seen this paper, but are relying on [12].) As a corollary, we obtain the following somewhat strengthened result: Let Σ be any extension of first-order intuitionistic arithmetic (HA) formalized in the language of HA. Let Σω be the theory obtained from Σ by adding functionals of finite type with intuitionistic logic, intensional identity, and axioms of choice and dependent choice at all types. Then Σω is a conservative extension of Σ. An interesting example of this theorem is obtained by taking Σ to be classical first-order arithmetic.

Improving Mean Variance Optimization through Sparse Hedging Restrictions

2015 ◽  
Vol 50 (6) ◽  
pp. 1415-1441 ◽  
Author(s):  
Shingo Goto ◽  
Yan Xu
Keyword(s):  
Covariance Matrix ◽  
Factor Model ◽  
Risk Minimization ◽  
Portfolio Risk ◽  
Finite Samples ◽  
Inverse Covariance Matrix ◽  
Out Of Sample ◽  
Nonnegativity Constraints ◽  
Mean Variance ◽  
Equal Weighting

AbstractIn portfolio risk minimization, the inverse covariance matrix prescribes the hedge trades in which a stock is hedged by all the other stocks in the portfolio. In practice with finite samples, however, multicollinearity makes the hedge trades too unstable and unreliable. By shrinking trade sizes and reducing the number of stocks in each hedge trade, we propose a “sparse” estimator of the inverse covariance matrix. Comparing favorably with other methods (equal weighting, shrunk covariance matrix, industry factor model, nonnegativity constraints), a portfolio formed on the proposed estimator achieves significant out-of-sample risk reduction and improves certainty equivalent returns after transaction costs.

Uniqueness, definability and interpolation

1988 ◽  
Vol 53 (2) ◽  
pp. 554-570 ◽  
Author(s):  
Kosta Došen ◽  
Peter Schroeder-Heister
Keyword(s):  
Proof Theory ◽  
Interpolation Theorem ◽  
Order Logic ◽  
First Order Logic ◽  
General Notion ◽  
Structural Part ◽  
First Order ◽  
First Case ◽  
Additional Constant ◽  
Special Case

This paper is meant to be a comment on Beth's definability theorem. In it we shall make the following points.Implicit definability as mentioned in Beth's theorem for first-order logic is a special case of a more general notion of uniqueness. If α is a nonlogical constant, Tα a set of sentences, α* an additional constant of the same syntactical category as α and Tα, a copy of Tα with α* instead of α, then for implicit definability of α in Tα one has, in the case of predicate constants, to derive α(x1,…,xn) ↔ α*(x1,…,xn) from Tα ∪ Tα*, and similarly for constants of other syntactical categories. For uniqueness one considers sets of schemata Sα and derivability from instances of Sα ∪ Sα* in the language with both α and α*, thus allowing mixing of α and α* not only in logical axioms and rules, but also in nonlogical assumptions. In the first case, but not necessarily in the second one, explicit definability follows. It is crucial for Beth's theorem that mixing of α and α* is allowed only inside logic, not outside. This topic will be treated in §1.Let the structural part of logic be understood roughly in the sense of Gentzen-style proof theory, i.e. as comprising only those rules which do not specifically involve logical constants. If we restrict mixing of α and α* to the structural part of logic which we shall specify precisely, we obtain a different notion of implicit definability for which we can demonstrate a general definability theorem, where a is not confined to the syntactical categories of nonlogical expressions of first-order logic. This definability theorem is a consequence of an equally general interpolation theorem. This topic will be treated in §§2, 3, and 4.

Reverberation Intensity Decaying in Range-Dependent Waveguide

2019 ◽  
Vol 27 (03) ◽  
pp. 1950007
Author(s):  
J. R. Wu ◽  
T. F. Gao ◽  
E. C. Shang
Keyword(s):  
Large Scale ◽  
Back Propagation ◽  
Normal Modes ◽  
Small Scale ◽  
Signal Pulse ◽  
First Order ◽  
Orthogonal Property ◽  
Short Signal ◽  
Scale Roughness ◽  
Special Case

In this paper, an analytic range-independent reverberation model based on the first-order perturbation theory is extended to range-dependent waveguide. This model considers the effect of bottom composite roughness: small-scale bottom rough surface provides dominating energy for reverberation, whereas large-scale roughness has the effect of forward and back propagation. For slowly varying bottom and short signal pulse, analytic small-scale roughness backscattering theory is adapted in range-dependent waveguides. A parabolic equation is used to calculate Green functions in range-dependent waveguides, and the orthogonal property of local normal modes is employed to estimate the modal spectrum of PE field. Synthetic tests demonstrate that the proposed reverberation model works well, and it can also predict the reverberation of range-independent waveguide as a special case.

De Verwerving Van Morfologische Regels in Schrift (III)

1999 ◽  
Vol 61 ◽  
pp. 97-110
Author(s):  
Marjolein van Dort-Slijper ◽  
Gert Rijlaarsdam ◽  
Eva Breedveld
Keyword(s):  
Negative Transfer ◽  
Empirical Studies ◽  
A Priori ◽  
Recognition Task ◽  
Past Tense ◽  
Production Task ◽  
The Past ◽  
Verb Inflection ◽  
Group 6 ◽  
Special Case

In order to provide textbook authors with empirical data on the acquisition in Dutch of written morphology in nouns, verbs and adjectives, several empirical studies have been undertaken. In this article, the third study reports on the performance of the morpheme -e in a special case of adjectives in Dutch: the adjectives derived from participles. The study tries to determine the possible interference between the morphological rules for verb inflection (past tense) and adjective declension in reading and writing. Five classes of adjectives were distinguished according to order of relative difficulty established a priori. Subjects (n=157, grade 6, 7 and 8 from two schools) individually completed a compre-hension and a production task in which factors were systematically varied. Also a recognition test on the spelling of the past tense of verbs was administered. The results showed an effect of categories of verbal adjectives in the production task, but only for groups 7 and 8; group 6 was not sensitive to the differences between the categories. In the recognition task, no effect of type of adjective (verbal or normal) was found for groups 7 and 8; but for group 6, performance on verbal adjectives was lower for the three most difficult categories of adjectives. In the production task, all three groups performed lower on verbal adjectives than normal adjectives in the two most difficult categories of adjectives. It turned out that groups which acquired spelling rules for the past tense of verbs to a higher level, made more errors in the spelling of verbal adjectives, especially in the two categories of adjectives which related the strongest to the spelling of verbs. It was concluded that indications were found that negative transfer or interference is present. Authors recommend changing the order of phases in which spelling rules are trained: from 'adjective declension-verb inflection (past tense)-verbal adjective declension' to 'adjective declension (including verbal adjective declension)-verb declension (past tense).

De Verwerving van Morfologische Regels in Schrift

1998 ◽  
Vol 60 ◽  
pp. 87-100
Author(s):  
Marjolein van Dort-Slijper ◽  
Gert Rijlaarsdam ◽  
Maaike Ditzel
Keyword(s):  
Empirical Data ◽  
Cognitive Task ◽  
Empirical Studies ◽  
Production Task ◽  
Grammatical Function ◽  
Reading And Writing ◽  
Stressed Syllable ◽  
Special Case ◽  
Grammatical Functions

In order to provide authors of text books with empirical data on the acquisition in Dutch of written morphology in nouns, verbs and adjectives, several empirical studies were undertaken. In this article, the second study is reported on the performance of the morpheme -en in a special case of adjectives in Dutch: material adjectives such as 'gouden' (gold). The study tried to determine factors which affect the performance in reading and writing. Factors involved were two interference factors (plural in adjacent nouns; normal adjectives), cognitive task (comprehension versus writing) and two syntactic factors (grammatical function and position in the sentence of the constituent. Subjects (n=80, grades 6 and 7, from four schools) individually completed a comprehension and a production task in which factors were systematically varied. No effects of cognitive task were observed. Therefore only results for the production task were reported in detail. It turned out that material adjectives were more difficult than normal adjectives, and that within the category of material adjectives two subcategories should be distinguished, the easier one in which the morpheme is preceded by a stressed syllable as in 'gouden', and the more difficult one in which this is not the case, as in 'zilveren'. Of the two syntactic factors, only the grammatical function seems to affect the performance: adjectives in constituents with subject function were more difficult than adjectives with other grammatical functions; interactions between group and category of adjectives were found. Of the two interference factors, both factors seemed to affect performance.

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