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Adversarial risk analysis (ARA) offers a new solution concept in game theory. This paper explores its application to a range of simple gambling games, enabling comparison with minimax solutions for similar problems. We find that ARA has several attractive advantages: it is easier to compute, it...
We consider a utility‐based portfolio selection problem, where the parameters change according to a Markovian market that cannot be observed perfectly. The market consists of a riskless and many risky assets whose returns depend on the state of the unobserved market process. The states of the...
Despite the vast number of models that have been developed for analyzing stakeholders' preferences, it is difficult to find any true out‐of‐sample validation for these models. Based on the theory of rational preference, utilities are specific to the individual. Unlike subjective probability,...
We explore properties of information measures of the Dirichlet family and related distributions. Representations of the information measures of the Dirichlet family in terms of the information measures of the gamma family reflect the characterization of Dirichlet distribution in terms of the...
In this paper we develop a simulation‐based approach to stochastic dynamic programming. To solve the Bellman equation we construct Monte Carlo estimates of Q‐values. Our method is scalable to high dimensions and works in both continuous and discrete state and decision spaces while avoiding...
The failure rate function is one of the most commonly used notion in reliability engineering and in survival analysis. The purpose of this expository paper is to point out some mathematical issues connected with this notion, a consequence of which is that under certain circumstances the famous...
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