Related papers: A Savage-Like Axiomatization for Nonstandard Expec…
Here, by introducing a version of Unexpected hanging paradox first we try to open a new way and a new explanation for paradoxes, similar to liar paradox. Also, we will show that we have a semantic situation which no syntactical logical…
This paper studies how violations of structural assumptions like expected utility and exponential discounting can be connected to basic rationality violations, even though these assumptions are typically regarded as independent building…
Data-driven decision making plays an important role even in high stakes settings like medicine and public policy. Learning optimal policies from observed data requires a careful formulation of the utility function whose expected value is…
In this paper, we establish a mathematical duality between utility transforms and probability distortions. These transforms play a central role in decision under risk by forming the foundation for the classic theories of expected utility,…
To answer questions of "causes of effects", the probability of necessity is introduced for assessing whether or not an observed outcome was caused by an earlier treatment. However, the statistical inference for probability of necessity is…
We extend well-known comparative results under expected utility to models of non-expected utility by providing novel conditions on local utility functions. We illustrate how our results parallel, and are distinct from, existing results for…
From the climate system to the effect of the internet on society, chaotic systems appear to have a significant role in our future. Here a method of statistical learning for a class of chaotic systems is described along with underlying…
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…
We pursue an inverse approach to utility theory and consumption & investment problems. Instead of specifying an agent's utility function and deriving her actions, we assume we observe her actions (i.e. her consumption and investment…
The random utility model, a cornerstone in economics, is axiomatized by Falmagne (1978) and McFadden and Richter (1990) with the assumption that if a menu is observable, the choice frequencies of all alternatives are also observable.…
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…
The features of a logically sound approach to a theory of statistical reasoning are discussed. A particular approach that satisfies these criteria is reviewed. This is seen to involve selection of a model, model checking, elicitation of a…
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 shows how we can combine logical representations of actions and decision theory in such a manner that seems natural for both. In particular we assume an axiomatization of the domain in terms of situation calculus, using what is…
We present a theory of expected utility with state-dependent linear utility functions for monetary returns, that incorporates the possibility of loss-aversion. Our results relate to first order stochastic dominance, mean-preserving spread,…
It is well known that the independence of the sample mean and the sample variance characterizes the normal distribution. By using Anosov's theorem, we further investigate the analogous characteristic properties in terms of the sample mean…
When it comes to structural estimation of risk preferences from data on choices, random utility models have long been one of the standard research tools in economics. A recent literature has challenged these models, pointing out some…
This paper re-examines the first normalized incomplete moment, a well-established measure of inequality with wide applications in economic and social sciences. Despite the popularity of the measure itself, existing statistical inference…
An analyst observes an agent take a sequence of actions. The analyst does not have access to the agent's information and ponders whether the observed actions could be justified through a rational Bayesian model with a known utility…
Gambles are random variables that model possible changes in monetary wealth. Classic decision theory transforms money into utility through a utility function and defines the value of a gamble as the expectation value of utility changes.…