{"paper":{"title":"Dynamic Capital Requirements for Markov Decision Processes","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":[],"primary_cat":"math.OC","authors_text":"Abhishek Gupta, Shiping Shao, William B. Haskell","submitted_at":"2024-01-11T16:30:45Z","abstract_excerpt":"We build on the theory of capital requirements (CRs) to create a new framework for modeling dynamic risk preferences. The key question is how to evaluate the risk of a payoff stream sequentially as new information is revealed. In our model, we associate each payoff stream with a disbursement strategy and a premium schedule to form a triple of stochastic processes. We characterize risk preferences in terms of a single set that we call the risk frontier which characterizes acceptable triples. We then propose the generalized capital requirement (GCR) which evaluates the risk of a payoff stream by"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"2401.06020","kind":"arxiv","version":1},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"integrity":{"clean":true,"summary":{"advisory":0,"critical":0,"by_detector":{},"informational":0},"endpoint":"/pith/2401.06020/integrity.json","findings":[],"available":true,"detectors_run":[],"snapshot_sha256":"c28c3603d3b5d939e8dc4c7e95fa8dfce3d595e45f758748cecf8e644a296938"},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}