9 citations · 10 across the 5 of their papers we have counts for
5 papers
Approximate optimality and the risk/reward tradeoff in a class of bandit problems
Zengjing Chen, Larry G. Epstein, Guodong Zhang
This paper studies a sequential decision problem where payoff distributions are known and where the riskiness of payoffs matters. Equivalently, it studies sequential choice from a…
A Central Limit Theorem, Loss Aversion and Multi-Armed Bandits
Zengjing Chen, Larry G. Epstein, Guodong Zhang
This paper studies a multi-armed bandit problem where the decision-maker is loss averse, in particular she is risk averse in the domain of gains and risk loving in the domain of lo…
A Central Limit Theorem for Sets of Probability Measures
Zengjing Chen, Larry G. Epstein
We prove a central limit theorem for a sequence of random variables whose means are ambiguous and vary in an unstructured way. Their joint distribution is described by a set of mea…
Optimal Learning under Robustness and Time-Consistency
Larry G. Epstein, Shaolin Ji
We model learning in a continuous-time Brownian setting where there is prior ambiguity. The associated model of preference values robustness and is time-consistent. It is applied t…
Ambiguous Volatility, Possibility and Utility in Continuous Time
Larry Epstein, Shaolin Ji
This paper formulates a model of utility for a continuous time framework that captures the decision-maker's concern with ambiguity about both the drift and volatility of the drivin…