We define a risk-averse nonanticipative feasible policy for multistage stochastic programs and propose a methodology to implement it. The approach is based on dynamic programming equations written for a risk-averse formulation of the problem. This formulation relies on a new class of multiperiod risk functionals called extended polyhedral risk measures. Dual representations of such risk functio...

In cybersecurity, attackers range from brash, unsophisticated script kiddies and cybercriminals to stealthy, patient advanced persistent threats. When modeling these attackers, we can observe that they demonstrate different risk-seeking risk-averse behaviors. This work explores how an attacker’s risk seeking or averse behavior affects their operations against detection-optimizing defenders in I...

The Nigerian agriculture is characterized by low productivity, low farm incomes and low levels of technological adoption and use of inefficient production techniques. This poor state of Nigerian agriculture is related to farmers’ attitudes towards risk in the adoption of new production techniques, as well as risk in the production and socioeconomic environment. Having realized that poverty is a...

In 1996 Alan Greenspan warned that stock prices were \unduly escalated" and re ected \irrational exuberance". In this paper we describe an economy that can support a prolonged surge of asset prices, accompanied by a sharp increase of volatility. We study an equilibrium model where some agents are risk averse while others have loss averse preferences over wealth, according to prospect theory. We...

Theoretically, given a choice over two risky assets with equivalent expected returns, a risk averse expected utility maximizer should choose the second-order stochastically dominant asset. We develop a theoretical framework that allows for decision error, which should decrease in risk aversion. We conduct an experiment using a risk preference elicitation mechanism to identify risk averse indivi...

Individuals’ preferences for risk and inequality are measured through choices between imagined societies and lotteries. The median relative risk aversion, which is often seen to reflect social inequality aversion, is between 2 and 3. Most people are also found to be individually inequality-averse, reflecting a willingness to pay for living in a more equal society. Left-wing voters and women are...