Related papers: Realization Utility with Reference-Dependent Prefe…
We present a method for calculating and analyzing stakeholder utilities of processes that arise in, but are not limited to, the social sciences. These areas include business process analysis, healthcare workflow analysis and policy process…
Assuming that agents' preferences satisfy first-order stochastic dominance, we show how the Expected Utility paradigm can rationalize all optimal investment choices: the optimal investment strategy in any behavioral law-invariant…
Traditional learning approaches for classification implicitly assume that each mistake has the same cost. In many real-world problems though, the utility of a decision depends on the underlying context $x$ and decision $y$. However,…
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…
In this paper we study the optimal investment and reinsurance problem of an insurance company whose investment preferences are described via a forward dynamic exponential utility in a regime-switching market model. Financial and actuarial…
This paper develops a model of reference-dependent assessment of subjective beliefs in which loss-averse people optimally choose the expectation as the reference point to balance the current felicity from the optimistic anticipation and the…
When faced with complex choices, users refine their own preference criteria as they explore the catalogue of options. In this paper we propose an approach to preference elicitation suited for this scenario. We extend Coactive Learning,…
The problem of demand inversion - a crucial step in the estimation of random utility discrete-choice models - is equivalent to the determination of stable outcomes in two-sided matching models. This equivalence applies to random utility…
A decision maker's utility depends on her action $a\in A \subset \mathbb{R}^d$ and the payoff relevant state of the world $\theta\in \Theta$. One can define the value of acquiring new information as the difference between the maximum…
The main objective of this paper is to develop a martingale-type solution to optimal consumption--investment choice problems ([Merton, 1969] and [Merton, 1971]) under time-varying incomplete preferences driven by externalities such as…
We derive a family of risk-sensitive reinforcement learning methods for agents, who face sequential decision-making tasks in uncertain environments. By applying a utility function to the temporal difference (TD) error, nonlinear…
Sequential decision-making is desired to align with human intents and exhibit versatility across various tasks. Previous methods formulate it as a conditional generation process, utilizing return-conditioned diffusion models to directly…
We introduce a utility-driven bounded-confidence model of opinion dynamics in which opinions associated with higher utility exert stronger social influence. In the regime where all agents belong to a single opinion cluster, we derive a…
In the general framework of a semimartingale financial model and a utility function $U$ defined on the positive real line, we compute the first-order expansion of marginal utility-based prices with respect to a ``small'' number of random…
An important use of machine learning is to learn what people value. What posts or photos should a user be shown? Which jobs or activities would a person find rewarding? In each case, observations of people's past choices can inform our…
We consider a discrete-time model of a financial market where a risky asset is bought and sold with transactions having a transient price impact. It is shown that the corresponding utility maximization problem admits a solution. We manage…
We adress the maximization problem of expected utility from terminal wealth. The special feature of this paper is that we consider a financial market where the price process of risky assets can have a default time. Using dynamic…
We study a continuous-time portfolio choice problem for an investor whose state-dependent preferences are determined by an exogenous factor that evolves as an It\^o diffusion process. Since risk attitudes at the end of the investment…
Forecasting accuracy is routinely optimised in financial prediction tasks even though investment and risk-management decisions are executed under transaction costs, market impact, capacity limits, and binding risk constraints. This paper…
Stochastic dominance is a preference relation of uncertain prospect defined over a class of utility functions. While this utility class represents basic properties of risk aversion, it includes some extreme utility functions rarely…