Browsing by Keywords "Coherent risk measures"

Now showing items 1-4 of 4

    • Measures of model uncertainty and calibrated option bounds 

      Pınar, M. Ç. (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 

      Köse, Ümit Emre (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 

      Malekipirbazari, Milad; Çavuş, Özlem (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 

      Malekipirbazari, Milad (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 ...