asymmetric least squares 1decision theory 1disappointment aversion 1expectiles 1reinforcement learning 1savage framework 1
From the 1 of 3 linked papers with an AI index.
3 papers
econ.TH2026
Disappointment Aversion and Expectiles
Fabio Bellini, Fabio Maccheroni, Tiantian Mao +2
The paper reformulates Gul’s disappointment aversion model within a Savage decision‑theoretic framework, introduces new axioms, and links the model to expectiles and asymmetric lea…
q-fin.MF2026
Lambda Expected Shortfall
Fabio Bellini, Muqiao Huang, Qiuqi Wang +1
The Lambda Value-at-Risk (Lambda-VaR) is a generalization of the Value-at-Risk (VaR), which has been actively studied in quantitative finance. Over the past two decades, the Expect…
econ.TH2024
Disappointment concordance and duet expectiles
Fabio Bellini, Tiantian Mao, Ruodu Wang +1
We introduce an axiom of disappointment-concordance (disco) aversion for a preference relation over acts in an Anscombe-Aumann setting. This axiom means that the decision maker, fa…