Related papers: Num\'{e}raire-invariant preferences in financial m…
We consider an economic environment with one buyer and one seller. For a bundle $(t,q)\in [0,\infty[\times [0,1]=\mathbb{Z}$, $q$ refers to the winning probability of an object, and $t$ denotes the payment that the buyer makes. We consider…
We combine forward investment performance processes and ambiguity averse portfolio selection. We introduce the notion of robust forward criteria which addresses the issues of ambiguity in model specification and in preferences and…
We introduce and study the property of orthogonal independence, a restricted additivity axiom applying when alternatives are orthogonal. The axiom requires that the preference for one marginal change over another should be maintained after…
The transitivity of preferences is one of the basic assumptions used in the theory of games and decisions. It is often equated with rationality of choice and is considered useful in building rankings. Intransitive preferences are considered…
The comparative statics of the optimal portfolios across individuals is carried out for a continuous-time complete market model, where the risky assets price process follows a joint geometric Brownian motion with time-dependent and…
This papers addresses the stock option pricing problem in a continuous time market model where there are two stochastic tradable assets, and one of them is selected as a num\'eraire. It is shown that the presence of arbitrarily small…
Whether the goal is to analyze voting behavior, locate facilities, or recommend products, the problem of translating between (ordinal) rankings and (numerical) utilities arises naturally in many contexts. This task is commonly approached by…
We treat a fairly broad class of financial models which includes markets with proportional transaction costs. We consider an investor with cumulative prospect theory preferences and a non-negativity constraint on portfolio wealth. The…
An important question in economics is how people choose between different payments in the future. The classical normative model predicts that a decision maker discounts a later payment relative to an earlier one by an exponential function…
Under mean-variance-utility framework, we propose a new portfolio selection model, which allows wealth and time both have influences on risk aversion in the process of investment. We solved the model under a game theoretic framework and…
We consider a model where an agent is must choose between alternatives that each provide only an imprecise description of the world (e.g. linguistic expressions). The set of alternatives is closed under logical conjunction and disjunction,…
We consider a discrete time financial market with proportional transaction costs under model uncertainty, and study a num\'eraire-based semi-static utility maximization problem with an exponential utility preference. The randomization…
This research considers the ranking and selection with input uncertainty. The objective is to maximize the posterior probability of correctly selecting the best alternative under a fixed simulation budget, where each alternative is measured…
The expectation is an example of a descriptive statistic that is monotone with respect to stochastic dominance, and additive for sums of independent random variables. We provide a complete characterization of such statistics, and explore a…
Incomplete preferences provide the epistemic foundation for models of imprecise subjective probabilities and utilities that are used in robust Bayesian analysis and in theories of bounded rationality. This paper presents a simple…
A group of experts, for instance climate scientists, is to choose among two policies $f$ and $g$. Consider the following decision rule. If all experts agree that the expected utility of $f$ is higher than the expected utility of $g$, the…
Modeling the purposeful behavior of imperfect agents from a small number of observations is a challenging task. When restricted to the single-agent decision-theoretic setting, inverse optimal control techniques assume that observed behavior…
We prove the existence of optimal strategies for agents with cumulative prospect theory preferences who trade in a continuous-time illiquid market, transcending known results which pertained only to risk-averse utility maximizers. The…
Reallocating resources to get mutually beneficial outcomes is a fundamental problem in various multi-agent settings. While finding an arbitrary Pareto optimal allocation is generally easy, checking whether a particular allocation is Pareto…
This paper investigates a novel behavioral feature of recursive preferences: aversion to risks that persist over time, or simply \textit{correlation aversion}. Greater persistence provides information about future consumption but reduces…