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Multiple steps to the precipice: Risk aversion and worry in sequential decision-making

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Dayan,  P
Department of Computational Neuroscience, Max Planck Institute for Biological Cybernetics, Max Planck Society;
Max Planck Institute for Biological Cybernetics, Max Planck Society;

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Gagne,  C
Department of Computational Neuroscience, Max Planck Institute for Biological Cybernetics, Max Planck Society;
Max Planck Institute for Biological Cybernetics, Max Planck Society;

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Citation

Dayan, P., & Gagne, C. (2021). Multiple steps to the precipice: Risk aversion and worry in sequential decision-making. Talk presented at ICML 2021 Workshop on Computational Approaches to Mental Health (CA2MH Workshop). 2021-07-24.


Cite as: http://hdl.handle.net/21.11116/0000-0008-F523-C
Abstract
When outcomes are not completely certain, we have to grapple with risk. Different individuals have characteristically different attitudes to risk - something that has been extensively investigated in psychology and psychiatry, albeit largely using venerable measures that lack certain axiomatically-desirable properties. Here we consider a modern risk measure for modeling human and animal decision-making called conditional value at risk (CVaR) which is particularly apposite because of its preferential focus on worst-case outcomes. We discuss theoretical characteristics of CVaR in single and multi-step decision-making problems, relating our findings to avoidance and worry.