Related papers: Generalized Subjective Lexicographic Expected Util…
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…
Decision-making under uncertainty and causal thinking are fundamental aspects of intelligent reasoning. Decision-making has been well studied when the available information is considered at the associative (probabilistic) level. The…
We study payoff manipulation in repeated multi-objective Stackelberg games, where a leader may strategically influence a follower's deterministic best response, e.g., by offering a share of their own payoff. We assume that the follower's…
We present an econometric framework that adapts tools for scenario analysis, such as variants of conditional forecasts and generalized impulse responses, for use with dynamic nonparametric models. The proposed algorithms are based on…
Probabilistic independence can dramatically simplify the task of eliciting, representing, and computing with probabilities in large domains. A key technique in achieving these benefits is the idea of graphical modeling. We survey existing…
When making decisions under risk, people often exhibit behaviors that classical economic theories cannot explain. Newer models that attempt to account for these irrational behaviors often lack neuroscience bases and require the introduction…
A variety of statistical graphical models have been defined to represent the conditional independences underlying a random vector of interest. Similarly, many different graphs embedding various types of preferential independences, as for…
We present an approach to derivative exposure management based on subjective and implied probabilities. We suggest to maximize the valuation difference subject to risk constraints and propose a class of risk measures derived from the…
Diversification is the typical investment strategy of risk-averse agents. However, non-diversified positions that allocate all resources to a single asset, state of the world or revenue stream are common too. We show that whenever finitely…
In this paper we extend the stability results of [4]}. Our utility maximization problem is defined as an essential supremum of conditional expectations of the terminal values of wealth processes, conditioned on the filtration at the…
Inthispaperwedescribeaconcept-wisemulti-preferencesemantics for description logic which has its root in the preferential approach for modeling defeasible reasoning in knowledge representation. We argue that this proposal, beside satisfying…
Scalar inferences (SI) are a signature example of how humans interpret language based on unspoken alternatives. While empirical studies have demonstrated that human SI rates are highly variable -- both within instances of a single scale,…
Although expected utility theory has proven a fruitful and elegant theory in the finite realm, attempts to generalize it to infinite values have resulted in many paradoxes. In this paper, we argue that the use of John Conway's surreal…
We show that under plausible levels of background risk, no theory of choice under risk -- such as expected utility theory, prospect theory, or rank dependent utility -- can simultaneously satisfy the following three economic postulates: (i)…
New versions of the set-valued average value at risk for multivariate risks are introduced by generalizing the well-known certainty equivalent representation to the set-valued case. The first "regulator" version is independent from any…
This article aims to introduced a new lifetime distribution named as exponentiated xgamma distribution (EXGD). The new generalization obtained from xgamma distribution, a special finite mixture of exponential and gamma distributions. The…
The paper derives saddlepoint expansions for conditional expectations in the form of $\mathsf{E}[\overline{X} | \overline{\mathbf Y} = {\mathbf a}]$ and $\mathsf{E}[\overline{X} | \overline{\mathbf Y} \geq {\mathbf a}]$ for the sample mean…
We introduce a new approach to modeling uncertainty based on plausibility measures. This approach is easily seen to generalize other approaches to modeling uncertainty, such as probability measures, belief functions, and possibility…
We implement nonparametric revealed-preference tests of subjective expected utility theory and its generalizations. We find that a majority of subjects' choices are consistent with the maximization of some utility function. They respond to…
Expected goals (xG) models estimate the probability that a shot results in a goal from its context (e.g., location, pressure), but they operate only on observed shots. We propose xG+, a possession-level framework that first estimates the…