Moment characterization of higher-order risk preferences

Moment characterization of higher-order risk preferences

Higher - order Risk Preferences in Social Settings

We study higher-order risk preferences, i.e. prudence and temperance, next to risk aversion in social settings. Previous experimental studies have shown that higherorder risk preferences aff ect the choices of individuals deciding privately on lotteries that only aff ect their own pay-off . Yet, most risky and fi nancially relevant decisions in the fi eld are made in the social settings of hous...

Higher Moment Coherent Risk Measures

The paper considers modeling of risk-averse preferences in stochastic programming problems using risk measures. We utilize the axiomatic foundation of coherent risk measures and deviation measures in order to develop simple representations that express risk measures via specially constructed stochastic programming problems. Using the developed representations, we introduce a new family of highe...

Moment Matching Theorems for Dimension Reduction of Higher-Order Dynamical Systems via Higher-Order Krylov Subspaces

Moment matching theorems for Krylov subspace based model reduction of higherorder linear dynamical systems are presented in the context of higher-order Krylov subspaces. We introduce the definition of a nth-order Krylov subspace Kn k ({Ai} n i=1;u) based on a sequence of n square matrices {Ai}i=1 and vector u. This subspace is a generalization of Krylov subspaces for higher-order systems, incor...

Portfolio Optimization with Higher Moment Risk Measures

The paper considers modeling of risk-averse preferences in stochastic programming problems using risk measures. We utilize the axiomatic foundation of coherent risk measures and deviation measures in order to develop simple representations that express risk measures via solutions of specially constructed stochastic programming problems. Using the developed representations, we introduce a new fa...