Browsing by Keywords "Coherent risk measures"
Now showing items 1-4 of 4
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Measures of model uncertainty and calibrated option bounds
(Taylor & Francis, 2009)Recently, Cont introduced a quantitative framework for measuring model uncertainty in the context of derivative pricing [Model uncertainty and its impact on the pricing of derivative instruments, Math. Finance, 16(3) (2006), ... -
Optimal timing of living-donor liver transplantation under risk-aversion
(Bilkent University, 2016-07)Liver transplantation, which can be performed from either living-donors or cadavers, is the only viable treatment for end-stage liver diseases. In this study, we focus on living-donor liver transplantation. The timing of ... -
Risk-averse allocation indices for multiarmed bandit problem
(IEEE, 2021-01-25)In classical multiarmed bandit problem, the aim is to find a policy maximizing the expected total reward, implicitly assuming that the decision-maker is risk-neutral. On the other hand, the decision-makers are risk-averse ... -
Risk-averse multi-armed bandit problem
(Bilkent University, 2021-08)In classical multi-armed bandit problem, the aim is to find a policy maximizing the expected total reward, implicitly assuming that the decision maker is risk-neutral. On the other hand, the decision makers are risk-averse ...