On solving decision and risk management problems subject to uncertainty

Uncertainty is a pervasive challenge in decision and risk management and it is usually studied by quantification and modeling. Interestingly, engineers and other decision makers usually manage uncertainty with strategies such as incorporating robustness, or by employing decision heuristics. The focus of this paper is then to develop a systematic understanding of such strategies, determine their range of application, and develop a framework to better employ them. Based on a review of a dataset of 100 decision problems, this paper found that many decision problems have pivotal properties, i.e. properties that enable solution strategies, and finds 14 such properties. Therefore, an analyst can first find these properties in a given problem, and then utilize the strategies they enable. Multi-objective optimization methods could be used to make investment decisions quantitatively. The analytical complexity of decision problems can also be scored by evaluating how many of the pivotal properties are available. Overall, we find that in the light of pivotal properties, complex problems under uncertainty frequently appear surprisingly tractable.Comment: 12 page

BLACK SWANS ANOMALIES TESTING ON INDONESIA STOCK EXCHANGE

This Research aim to know Black Swan Anomalies happen in BEI to stock indexes LQ45 make overreaction and make price reversal and winner-loser anomalies. to test abnormal return use One Sample T-test and to know overreaction so make price reversal and winner-loser anomalies use Paired Sample T-Test. Based on result and discussion concluded that Black Swan Anomalies come on in BEI for stock indexes and effect Black Swan Anomalies are bleed and blowup make happen overreaction so make price reversal and winner-loser anomalies happen in BEI for stock indexes LQ45

Testing The ‘Black Swan Effect’ on Croatian Stock Market Between 2000 and 2013

We tested the economic activity and stock exchange of Croatia as a new country of EU in order to investigate the ‘Black Swan effect’ from 2000 to 2013. The empirical findings obtained in application of OLS methodology and Chow breaking point test provide evidence and show that resignation of the Croatian ex Prime Minister lead country successfully to EU, but were also ‘The Black Swan’ event, being unpredictable and having huge impact on political and economic environment in Croatia obtained through CROBEX, Croatian stock exchange indices. Authors conclude that the resignation was connected to one of the first significant cases of corruption in Croatia which has got the negative impact on the economic development of the country in general, dealing at the same time with global recession

Towards Machine Wald

The past century has seen a steady increase in the need of estimating and predicting complex systems and making (possibly critical) decisions with limited information. Although computers have made possible the numerical evaluation of sophisticated statistical models, these models are still designed \emph{by humans} because there is currently no known recipe or algorithm for dividing the design of a statistical model into a sequence of arithmetic operations. Indeed enabling computers to \emph{think} as \emph{humans} have the ability to do when faced with uncertainty is challenging in several major ways: (1) Finding optimal statistical models remains to be formulated as a well posed problem when information on the system of interest is incomplete and comes in the form of a complex combination of sample data, partial knowledge of constitutive relations and a limited description of the distribution of input random variables. (2) The space of admissible scenarios along with the space of relevant information, assumptions, and/or beliefs, tend to be infinite dimensional, whereas calculus on a computer is necessarily discrete and finite. With this purpose, this paper explores the foundations of a rigorous framework for the scientific computation of optimal statistical estimators/models and reviews their connections with Decision Theory, Machine Learning, Bayesian Inference, Stochastic Optimization, Robust Optimization, Optimal Uncertainty Quantification and Information Based Complexity.Comment: 37 page

The consequences of China's impending economic crisis on global economy: a predictive scenario on Sub-Saharan Africa

The main objective of this paper is to predict the consequences of China's impending economic crisis on global economy – with reference to Sub-Saharan Africa (SSA) in particular. The specific objective of this paper is to investigate and explore the increasing dominance of economic practice of China in SSA. China is a critical principal player in the economy of SSA. China's influence and dominance of the SSA economy might have negative effect on SSA in case of any implosion of the Chinese economy. Data were collected from print and electronic sources extracted from the vast body of empirical scholarship of different disciplines on China in SSA.  The results of this paper revealed that China is indeed dominating the economy in SSA. Pointers are that China's economic implosion would have consequences for SSA in the same way as the 2008-2009 global economic recession had around the world. This  paper positively predicts that China's economic and financial implosion remains a possibility, and would impact on SSA

Black swan: Synthesis and Future Research Directions

This literature review attempts to synthesize existing research of black swan phenomenon. Using a systematic methodology, a total of 66 key articles are identified as relevant. A framework is developed for black swans, which studies theoretical aspects of black swans, black swans' effects and protection against black swans. The results show that there are only few black swan related studies and main focus should be creating a common theoretical ground work for black swan concept which should lead to more efficient prevention and protection studies, which is most vital study direction regarding black swans. The results also suggest that black swans work in complex and systematic manner and the effects can spread to other systems directly or indirectly. Study also highlights possible teleological aspects of black swan events. The study also notices that prior black swan related research which is not connected to current black swan research should be actively collected and added to current black swan research to eliminate potential unnecessary research. The thesis concludes by offering some theoretical and managerial implications.fi=Opinnäytetyö kokotekstinä PDF-muodossa.|en=Thesis fulltext in PDF format.|sv=Lärdomsprov tillgängligt som fulltext i PDF-format

Bihevioralne financije i teorija „Crnog labuda“

Redovita pojava anomalija u konvencionalnoj ekonomiji doprinijela je formiranju i oblikovanju bihevioralnih financija. Ove su anomalije direktno ili indirektno ugrozile moderne financijske i ekonomske teorije, a temeljene su na racionalnom ponašanju i racionalnom donošenju odluka. Bihevioralne financije predstavljaju novi pristup području financija koji uzima u obzir i neke druge aspekte čovjeka, tj. investitora kao što su psihološki aspekti. Psihologija definira određene koncepte ponašanja i predrasuda koji su doprinijeli iracionalnom i često štetnom procesu donošenja odluka. Bihevioralne financije koncentriraju se na to kako individualni investitori donose odluke, to jest kako interpretiraju i reagiraju na određene informacije. Autori predstavljaju bihevioralne financije uvelike i kroz pojam Crnog Labuda kao događaja koji je nepredvidljiv, ima ozbiljne posljedice, a nakon što se dogodi ljudi daju objašnjenja koja ga čine predvidljivim. Događaji kojima se pridaje epitet Crnog Labuda je primjerice svjetska financijska kriza 2008. godine. Autori analiziraju i druge suvremene financijske teorije i kompariraju ih sa standardnim financijskim teorijama kako bi ukazali na potrebu daljnjih istraživanja iz područja financijske teorije

An IT strategic decision-making framework in the midst of disruptive technologies

Thesis (PhD (Informatics))--University of Pretoria, 2020.Technological disruption enabled by the internet revolution has resulted in an exponential increase in the growth of new technologies and resultant technology disruptions in the workplace. Many firms do not grasp the new technology trends early enough to improve business processes and capitalise on these emerging technologies. Over the last five years, there has been exponential growth of technologies in the consumer space, mainly in social, mobile, collaboration, big data and cloud-computing technologies. As these technologies mature and gain momentum, they change the context in which businesses compete and the nature of competition, resulting in the blurring of the lines between digital and traditional business models across industries. Disruptive technologies are changing the rules of competition. The rate of change in technology in the traditional enterprise space has been relatively slow in comparison. Most chief information officers (CIOs) agree that there could be significant value in utilising new technology in creating a competitive advantage in an agile world; however, in practice the adoption and implementation of newer technology occur relatively slowly. Previous information technology (IT) research predominantly focussed on IT selection, IT risk and governance, user acceptance of technologies and IT investment criteria. However, there is very little research on factors influencing strategic IT decisions from a perspective of disruptive technologies. Business executives would generally invest in IT initiatives that can generate a return on their investment, grow their business and maintain or create a sustainable competitive advantage, but organisations are often hesitant to investment in disruptive technologies in agile business conditions. The objective of this study was to investigate critical factors that guide strategic IT decisionmaking in an agile business context. This research explored relevant literature on disruptive technologies, disruptive organisations, approaches to IT decision-making, expectations of CIOs and enterprise architects in a disruptive context. During literature reviews, various factors were identified that had an influence on strategic IT decision-making in organisations. These factors were tested with experienced IT executives who made or influenced strategic IT decisions, comprising CIOs, enterprise architects, business executives and IT consultants from organisations across industries. Some of the participants were based internationally or had gained extensive experience in IT while working for global organisations. The outcome of the data collection resulted in two contributions to the information systems discipline. The main research contribution is a framework for strategic IT decision-making (FIT framework) and a step-by-step guide on how this can used by IT decision makers in a disruptive context. The second research contribution is the BIDD model (business IT, internal IT, digital IT and digital business), which can be used to classify IT systems based on their functional purpose in organisations. The use of the FIT framework and the BIDD model provides CIOs with a comprehensive guideline to make strategic IT decisions in the midst of disruptive technologies.InformaticsPhD (Informatics)Unrestricte