Related papers: Realization Utility with Reference-Dependent Prefe…
A model for decision making that generalizes Expected Utility Maximization is presented. This model, Expected Qualitative Utility Maximization, encompasses the Maximin criterion. It relaxes both the Independence and the Continuity…
This paper investigates how realized and option implied volatilities are related to the future quantiles of commodity returns. Whereas realized volatility measures ex-post uncertainty, volatility implied by option prices reveals the…
We explore the influence of framing on decision-making, where some products are framed (e.g., displayed, recommended, endorsed, or labeled). We introduce a novel choice function that captures observed variations in framed alternatives.…
User preferences for automated assistance often vary widely, depending on the situation, and quality or presentation of help. Developing effectivemodels to learn individual preferences online requires domain models that associate…
Diversification represents the idea of choosing variety over uniformity. Within the theory of choice, desirability of diversification is axiomatized as preference for a convex combination of choices that are equivalently ranked. This…
Historically, rational choice theory has focused on the utility maximization principle to describe how individuals make choices. In reality, there is a computational cost related to exploring the universe of available choices and it is…
Real-world engineering systems are typically compared and contrasted using multiple metrics. For practical machine learning systems, performance tuning is often more nuanced than minimizing a single expected loss objective, and it may be…
A dynamic model of collective consumption and saving decisions made by a finite number of agents with constant but different discount rates is developed. Collective utility is a weighted sum of individual utilities with time-varying utility…
This paper studies a one-sector optimal growth model with i.i.d. productivity shocks that are allowed to be unbounded. The utility function is assumed to be non-negative and unbounded from above. The novel feature in our framework is that…
Approaches for estimating preferences from human annotated data typically involves inducing a distribution over a ranked list of choices such as the Plackett-Luce model. Indeed, modern AI alignment tools such as Reward Modelling and Direct…
This study proposes a tractable stochastic choice model to identify motivations for prosocial behavior, and to explore alternative motivations of deliberate randomization beyond ex-ante fairness concerns. To represent social preferences, we…
A recent line of work, starting with Beigman and Vohra (2006) and Zadimoghaddam and Roth (2012), has addressed the problem of {\em learning} a utility function from revealed preference data. The goal here is to make use of past data…
This paper studies a loss-averse version of the multiplicative habit formation preference and the corresponding optimal investment and consumption strategies over an infinite horizon. The agent's consumption preference is depicted by a…
We consider in this paper some structured financial products, known as reverse convertible notes, that resulted in substantial losses to certain buyers of these notes in recent years. We shall focus on specific reverse convertible notes…
The main objective of dose finding trials is to find an optimal dose amongst a candidate set for further research. The trial design in oncology proceeds in stages with a decision as to how to treat the next group of patients made at every…
In the large financial market, which is described by a model with countably many traded assets, we formulate the problem of the expected utility maximization. Assuming that the preferences of an economic agent are modeled with a stochastic…
We propose a new approach to utilities that is consistent with state-dependent utilities. In our model utilities reflect the level of consumption satisfaction of flows of cash in future times as they are valued when the economic agents are…
This paper studies the optimal consumption under the addictive habit formation preference in markets with transaction costs and unbounded random endowments. To model the proportional transaction costs, we adopt the Kabanov's multi-asset…
We consider a decision maker who is unaware of objects to be sampled and thus cannot form beliefs about the occurrence of particular objects. Ex ante she can form beliefs about the occurrence of novelty and the frequencies of yet to be…
We study the utilitarian distortion of social choice mechanisms under the recently proposed learning-augmented framework where some (possibly unreliable) predicted information about the preferences of the agents is given as input. In…