Optimal Feedback Control Rules Sensitive to Controlled Endogenous Risk-Aversion

The objective of this paper is to correct and improve the results obtained by Van der Ploeg (1984a, 1984b) and utilized in the literature related to feedback stochastic optimal control sensitive to constant exogenous risk-aversion (Karp 1987; Whittle 1989, 1990; Chow 1993, amongst others). More realistic, the proposed approach deals with endoge- nous risks that are under the control of the decision-maker. It has strong implications on the policy decisions adopted by the decision-maker during the entire planning horizon.Controlled stochastic environment, rational decision-maker, adaptive control, optimal path, feedback optimal strategy, endogenous risk-aversion, dynamic active learning.Controlled stochastic environment, rational decision-maker, adaptive control, optimal path, feedback optimal strategy, endogenous risk-aversion, dynamic active learning.

Improving the Risk Concept: A Revision of Arrow-Pratt Theory in the Context of Controlled Dynamic Stochastic Environments

In the literature on risk, one generally assume that uncertainty is uniformly distributed over the entire working horizon, when the absolute risk-aversion index is negative and constant. From this perspective, the risk is totally exogenous, and thus independent of endogenous risks. The traditional measures of risk-aversion are generally too weak for making comparisons between risky situations. This can be highlighted in concrete problems in finance and insurance, context for which the Arrow-Pratt measures of risk-aversion give ambiguous results (Ross 1981). We improve the Arrow-Pratt approach (1964, 1971a, 1971b), which takes into account only attitudes towards small exogenous risks, by integrating in the analysis potentially high endogenous risks that are under the control of the agent. Based on multiple theoretical and empirical arguments, this new approach offers an elegant study of the close relationship between behavior, attitude and perceived risk.Endogenous risk-aversion, adaptive risk management, optimal risk-aversion threshold, excessive risk-averse behavior, risk perception, changing risk behavior.

Improving the Effort Concept: A Revision of the Traditional Approach in the Context of Controlled Dynamic Stochastic Environments

The objective of this paper is to re-evaluate the attitude to effort of a risk-averse decision- maker in an evolving environment. In the classical analysis, the space of efforts is generally discretized. More realistic, this new approach employes a continuum of effort levels. The pres- ence of multiple possible efforts and performance levels provide a better basis for explaining real economic phenomena. In the context of a principal-agent relationship, not only the incentives of the Principal can determine the private agent to exert a good effort, but also the evolution of the dynamic system. The dynamic incentives can be ineffective when the environment does not sufficiently incite the agent to allocate effort. This possible scenario explains why some efficient strategic incentive-compatible constraints that cover the entire period of contract do not generally exist. The proposed approach offers an elegant study of the close relationship between behavior, attitude and effort allocation.Rational decision-maker, endogenous dynamic learning, adaptive effort management, optimal effort threshold, effort aversion, excessive effort behavior.

Nash Equilibrium Strategies in Discrete-Time Finite-Horizon Dynamic Games with Risk-and Effort-Averse Players

The objective of this paper is to re-examine the risk-and effort attitude in the context of strategic dynamic interactions stated as a discrete-time finite-horizon Nash game. The analysis is based on the assumption that players are endogenously risk-and effort-averse. Each player is characterized by distinct risk-and effort-aversion types that are unknown to his opponent. The goal of the game is the optimal risk-and effort-sharing between the players. It generally depends on the individual strategies adopted and, implicitly, on the the players' types or characteristics.Dynamic Nash game, optimal path, closed-loop control, endogenous risk-and effort-aversion, adaptive risk-and effort management, optimal risk-and effort-sharing.

A survey of beam asymmetries in semi-exclusive electron scattering on helium-4 and carbon-12

A study of the polarized electron beam asymmetry in semi-exclusive ( e, e\u27p) reactions on 4He and 12C over a large kinematic range has been performed. The beam asymmetry A\u27LT is related to the imaginary part of the longitudinal-transverse interference and therefore it vanishes in reactions proceeding through a channel with a single dominant mechanism. In quasifree nucleon knockout, the helicity asymmetry provides an unambiguous signature for the interference between direct knockout and rescattering amplitudes. The data were taken in April--May 1999 using polarized beams of energies between 2.2 and 4.4 GeV, with the CEBAF Large Acceptance Spectrometer (CLAS) detector located in Hall B at the Jefferson Laboratory, VA. The measured asymmetries compare well with the theoretical predictions

NA62 Grid Monte Carlo Production Tools

The NA62 Grid Interface for Monte Carlo production and its related system components are pre- sented. This note is intended as a detailed description of the system for administration purposes, and as a user’s manual for Grid production management

Qualitative Analysis of Fundamental Theoretical Tools Employed in Modelling Decision Making Problems

Submitted for publication to Journal of Economic Surveys.The objective of this paper is to analyze fundamental theoretical tools employed in modelling decision making problems which involve multivariate risks. By exploiting the richness of the literature, we highlight the qualities as well as the “weaknesses” specific to a wide class of decision models. These are not free from critiques, especially when real world problems are considered. A little effort has been spent on improving this type of models, often conceptually convenient but not always adequate. This study emphasizes the need for aconsistent framework to cover a broad area of research on the strategic behavior of potentially risk-averter policy-makers in a controlled dynamic stochastic environment. Work remains to be done in this exciting area.L'objectif de cet article est d'analyser des outils théoriques fondamentaux utilisés dans la modélisation des problèmes de prise de décision qui intègrent des risques multivariés. En exploitant la richesse de la littérature, nous mettons en évidence les qualités ainsi que les “faiblesses” spécifiques à une large classe de modèles de décision. Ce ne sont pas exempts des critiques, en particulier si des problèmes complexes sont considérés. Peu d'effort a été investi sur l'amélioration de ce type de modèles, souvent conceptuellement commodes mais pas toujours adéquats. Cette étude fait ressortir la nécessité d'un cadre cohérent pour couvrir un large domaine de recherche sur le comportement stratégique des décideurs potentiellement

Optimal feedback control rules sensitive to controlled endogenous risk-aversion

The objective of this paper is to correct and improve the results obtained by Van der Ploeg (1984a, 1984b) and utilized in the theoretical literature related to feedback stochastic optimal control sensitive to constant exogenous risk-aversion (see, Jacobson, 1973, Karp, 1987 and Whittle, 1981, 1989, 1990, among others) or to the classic context of risk-neutral decision-makers (see, Chow, 1973, 1976a, 1976b, 1977, 1978, 1981, 1993). More realistic and attractive, this new approach is placed in the context of a time-varying endogenous risk-aversion which is under the control of the decision-maker. It has strong qualitative implications on the agent's optimal policy during the entire planning horizon

Nash equilibrium strategies in discrete-time finite-horizon dynamic games with risk-and effort-averse players

The objective of this paper is to re-examine the risk-and effort attitude in the context of strategic dynamic interactions stated as a discrete-time finite-horizon Nash game. The analysis is based on the assumption that players are endogenously risk-and effort-averse. Each player is characterized by distinct risk-and effort-aversion types that are unknown to his opponent. The goal of the game is the optimal risk-and effort-sharing between the players. It generally depends on the individual strategies adopted and, implicitly, on the the players' types or characteristics

Improving the risk concept : a revision of Arrow-Pratt theory in the context of controlled dynamic stochastic environments

In the literature on risk, one generally assume that uncertainty is uniformly distributed over the entire working horizon, when the absolute risk-aversion index is negative and constant. From this perspective, the risk is totally exogenous, and thus independent of endogenous risks. The classic procedure is "myopic" with regard to potential changes in the future behavior of the agent due to inherent random fluctuations of the system. The agent's attitude to risk is rigid. Although often criticized, the most widely used hypothesis for the analysis of economic behavior is risk-neutrality. This borderline case must be envisaged with prudence in a dynamic stochastic context. The traditional measures of risk-aversion are generally too weak for making comparisons between risky situations, given the dynamic �complexity of the environment. This can be highlighted in concrete problems in finance and insurance, context for which the Arrow-Pratt measures (in the small) give ambiguous