Comparing Polyinterval Alternatives: The “Mean-Risk” Method

2020 ◽  
Vol 47 (5) ◽  
pp. 290-297
Author(s):  
G. I. Shepelev
Keyword(s):  
The Mean ◽  
Mean Risk

Conclusion

2020 ◽  
pp. 248-250
Author(s):  
Paul Weirich
Keyword(s):  
Expected Utility ◽  
Utility Maximization ◽  
Risk Principle ◽  
Expected Utility Maximization ◽  
The Mean ◽  
Mean Risk

Recognizing that an act’s risk is a consequence of the act yields a version of expected-utility maximization that does not need adjustments for risk in addition to the probabilities and utilities of possible outcomes. This treatment of an act’s risk justifies the expected-utility principle, and the mean-risk principle, for evaluation of an act. Rational attitudes to risks explain the rationality of acting in accord with the principles. They ground the separability relations that support the principles. The expected-utility principle justifies a substantive, and not just a representational, version of the decision principle of expected-utility maximization. Consequently, the principle governs a single choice and not just sets of choices. It demands more than consistency of the choices in a set. It demands that each choice follow the agent’s preferences, and these preferences explain the rationality of a choice that complies with the principle.

Regulation of Risks

2020 ◽  
pp. 196-220
Author(s):  
Paul Weirich
Keyword(s):  
Cooperative Games ◽  
Regulatory Agencies ◽  
Multiple Agents ◽  
The Public ◽  
The People ◽  
Simplifying Assumptions ◽  
Regulatory Measures ◽  
The Mean ◽  
The Law ◽  
Mean Risk

Governments regulate risks on behalf of the people they serve. Given that regulatory agencies aim for regulatory measures that the public would endorse if rational and informed, the mean-risk method of evaluating acts provides valuable guidance. It offers a way of constructing for a citizen informed probability and utility assignments for a regulation’s possible outcomes, and using these assignments to obtain for the citizen an informed utility assignment for the regulation. The theory of cooperative games combines the utility assignments of multiple agents to support a collective act, and under simplifying assumptions, supports an act that maximizes collective utility, defined as a sum of the act’s utilities for the agents, in the tradition of utilitarianism. This approach to regulation accommodates acts targeting information-sensitive, evidential risks as well as acts targeting physical risks. Verification of a reduction in an evidential risk can meet the standards of objectivity that the law adopts.

scholarly journals A Machine Learning Integrated Portfolio Rebalance Framework with Risk-Aversion Adjustment

2020 ◽  
Vol 13 (7) ◽  
pp. 155
Author(s):  
Zhenlong Jiang ◽  
Ran Ji ◽  
Kuo-Chu Chang
Keyword(s):  
Machine Learning ◽  
Risk Aversion ◽  
Financial Data ◽  
Rolling Horizon ◽  
Learning Models ◽  
Market Index ◽  
Out Of Sample ◽  
The Mean ◽  
Mean Risk ◽  
Machine Learning Models

We propose a portfolio rebalance framework that integrates machine learning models into the mean-risk portfolios in multi-period settings with risk-aversion adjustment. In each period, the risk-aversion coefficient is adjusted automatically according to market trend movements predicted by machine learning models. We employ Gini’s Mean Difference (GMD) to specify the risk of a portfolio and use a set of technical indicators generated from a market index (e.g., S&P 500 index) to feed the machine learning models to predict market movements. Using a rolling-horizon approach, we conduct a series of computational tests with real financial data to evaluate the performance of the machine learning integrated portfolio rebalance framework. The empirical results show that the XGBoost model provides the best prediction of market movement, while the proposed portfolio rebalance strategy generates portfolios with superior out-of-sample performances in terms of average returns, time-series cumulative returns, and annualized returns compared to the benchmarks.

scholarly journals Study on the Confidence and Reliability of the Mean Seismic Probability Risk Model

2017 ◽  
Vol 2017 ◽  
pp. 1-9
Author(s):  
Xiao-Lei Wang ◽  
Da-Gang Lu
Keyword(s):  
Seismic Design ◽  
Confidence Level ◽  
Risk Model ◽  
Safety Evaluation ◽  
Design Parameters ◽  
Critical Infrastructures ◽  
High Confidence ◽  
Confidence Levels ◽  
The Mean ◽  
Mean Risk

The mean seismic probability risk model has widely been used in seismic design and safety evaluation of critical infrastructures. In this paper, the confidence levels analysis and error equations derivation of the mean seismic probability risk model are conducted. It has been found that the confidence levels and error values of the mean seismic probability risk model are changed for different sites and that the confidence levels are low and the error values are large for most sites. Meanwhile, the confidence levels of ASCE/SEI 43-05 design parameters are analyzed and the error equation of achieved performance probabilities based on ASCE/SEI 43-05 is also obtained. It is found that the confidence levels for design results obtained using ASCE/SEI 43-05 criteria are not high, which are less than 95%, while the high confidence level of the uniform risk could not be achieved using ASCE/SEI 43-05 criteria and the error values between risk model with target confidence level and mean risk model using ASCE/SEI 43-05 criteria are large for some sites. It is suggested that the seismic risk model considering high confidence levels instead of the mean seismic probability risk model should be used in the future.

scholarly journals Societal Risk Perception: A 19-Countries Comparison

2020 ◽  
Vol 5 (2) ◽  
pp. 25-35
Author(s):  
Bruno Chauvin ◽  
Dimitra Macri ◽  
Etienne Mullet
Keyword(s):  
Cluster Analysis ◽  
Risk Perception ◽  
Risk Estimation ◽  
Common Denominator ◽  
National Differences ◽  
The Mean ◽  
And Cluster Analysis ◽  
Societal Problems ◽  
Mean Risk ◽  
Cross National

The study was aimed at structuring the crosscountry differences in risk perception that have been reported in the literature, using cluster analysis. A 30-hazard x 19-country matrix was composed using as inputs the mean risk estimation levels available in the literature, and cluster analysis was conducted on this matrix. Six clusters of countries were found: A Communist bloc cluster (USSR and Hungary), a Nordic cluster (Finland, Norway, Sweden), an Arab cluster (Egypt and Kuwait), a Developing countries cluster (Brazil and South Korea), a Western cluster (France, Portugal, Spain, USA), and a cluster comprised of four countries or territories (Burkina Faso, China-Hong-Kong, China-Macao, Russia) which only common denominator seems to be that these countries are countries in which many economical and/or societal problems exist. The factors that may explain this clustering are discussed, and a new, more analytic approach to cross-national differences in risk perception is suggested.

Timberland Indexes and Portfolio Management

1990 ◽  
Vol 14 (3) ◽  
pp. 119-124 ◽  
Author(s):  
F. Christian Zinkhan ◽  
Kossuth Mitchell
Keyword(s):  
Performance Evaluation ◽  
Portfolio Management ◽  
Asset Allocation ◽  
Financial Assets ◽  
Southern Pine ◽  
Investment Performance ◽  
Risk Return ◽  
Efficient Portfolios ◽  
The Mean ◽  
Mean Risk

Abstract This paper explores two timberland index applications: asset allocation and investment performance evaluation. The Southern Timberland Index Fund (STIF), a southern pine index fund, is adopted for use in these applications. In the asset allocation application, the mean risk of risk-return efficient portfolios containing financial assets and the STIF is discovered to be 43% less than the mean risk of the efficient portfolios containing only financial assets. Efficient portfolios contain the STIF in proportions as high as almost 30%. As far as performance is concerned, a timberland index is suggested for use as a benchmark for evaluating (1) timberland investment managers and (2) the investment performance of timberland versus other investment alternatives. Before such applications become commonplace, it is concluded that problems associated with existing timberland indexes be addressed. South. J. Appl. For. 14(3):119-124.

scholarly journals Risk behaviors related to eating disorders in adolescents and its association with dental erosion

2017 ◽  
Vol 46 (2) ◽  
pp. 66-71
Author(s):  
Daniella Fagundes SOUTO ◽  
Bruno Arlindo de Oliveira COSTA ◽  
Arlete Maria Gomes OLIVEIRA ◽  
Flávia Martão FLÓRIO ◽  
Luciane ZANIN
Keyword(s):  
Eating Disorders ◽  
Young Adults ◽  
Risk Behaviors ◽  
Dental Erosion ◽  
Eating Attitudes ◽  
State School ◽  
Cross Sectional ◽  
The Mean ◽  
Low Prevalence ◽  
Mean Risk

Abstract Introduction The overvaluation of thinness as a standard of beauty has contributed to the development of eating disorders and has mainly affected adolescents and young adults. Objective To evaluate the prevalence of risk behaviors for eating disorders and their association with dental erosion in adolescents. Material and method This is a cross-sectional observational epidemiological study. The sample consisted of 278 adolescents aged 12 to 19 years, enrolled in a State School in Campinas - SP. Two questionnaires were used for the data collection on eating disorders: Bulimic Investigatory Test of Edinburgh and Eating Attitudes Test -26. The presence of erosion was evaluated by calibrated examiners. Result The mean age of the sample was 14.8 years. The prevalence of mean risk for bulimia in the sample was 43.2% (95% CI: 37.3%-49.0%) and the prevalence of adolescents with a probability of developing bulimia was 53.2% (95% CI: 47.4%-59.1%). Of the total, 11.9% (95% CI: 8.1%-15.7%) showed results suggestive of anorexia. Among women, 66.9% were classified as probability developing bulimia, whereas in men the prevalence was 39.0%. As for dental erosion, only 1.1% of the sample presented erosion. Conclusion The study pointed to large number of adolescents with risk behaviors for eating disorders but no association was found with dental erosion due to low prevalence.

scholarly journals Time Consistency of the Mean-Risk Problem

2021 ◽  
Author(s):  
Gabriela Kováčová ◽  
Birgit Rudloff
Keyword(s):  
Optimization Problems ◽  
Efficient Frontier ◽  
Time Consistency ◽  
Vector Optimization Problem ◽  
Consistency Property ◽  
The Mean ◽  
Time Inconsistent ◽  
Bellman Principle ◽  
Mean Risk ◽  
General Time

When dealing with dynamic optimization problems, time consistency is a desirable property as it allows one to solve the problem efficiently through a backward recursion. The mean-risk problem is known to be time inconsistent when considered in its scalarized form. However, when left in its original bi-objective form, it turns out to satisfy a more general time consistency property that seems better suited to a vector optimization problem. In “Time Consistency of the Mean-Risk Problem,” Kováĉova and Rudloff introduce a set-valued version of the famous Bellman principle and show that the bi-objective mean-risk problem does satisfy it. Then, the upper image, a set that contains the efficient frontier on its boundary, recurses backward in time. Kováĉova and Rudloff present conditions under which this recursion can be exploited directly to compute a solution in the spirit of dynamic programming. This opens the door for a new branch in mathematics: dynamic multivariate programming.

Evaluation of an Act

2020 ◽  
pp. 87-111
Author(s):  
Paul Weirich
Keyword(s):  
Expected Utility ◽  
Weighted Average ◽  
Risk Principle ◽  
The Mean ◽  
Mean Risk

The expected-utility principle asserts that an act’s utility equals its expected utility, that is, a probability-weighted average of the utilities of the act’s possible outcomes. The mean-risk principle asserts that an act’s utility equals the sum of (1) the act’s expected utility ignoring the act’s risk and (2) the intrinsic utility of the act’s risk. The justification of both principles uses the independence of evaluations of risks and prospects, taking them in isolation. The scope of intrinsic evaluations of risks and prospects makes the evaluations independent, and their independence grounds the additivity of evaluations of an act’s risks and prospects, and also the additivity of an evaluation of the act’s risk, in the sense of its exposure to chance, and the act’s evaluation ignoring its risk.

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