Related papers: Ergodicity-breaking reveals time optimal decision …
This paper studies a risk-sensitive decision-making problem under uncertainty. It considers a decision-making process that unfolds over a fixed number of stages, in which a decision-maker chooses among multiple alternatives, some of which…
Based on interactions between individuals and others and references to social norms, this study reveals the impact of heterogeneity in time preference on wealth distribution and inequality. We present a novel approach that connects the…
This paper examines optimal risk sharing for empirically realistic risk attitudes, providing results on Pareto optimality, competitive equilibria, utility frontiers, and the first and second theorems of welfare. Contrary to common…
Numerous online services are data-driven: the behavior of users affects the system's parameters, and the system's parameters affect the users' experience of the service, which in turn affects the way users may interact with the system. For…
Risk aversion is a common behavior universal to humans and animals alike. Economists have traditionally defined risk preferences by the curvature of the utility function. Psychologists and behavioral economists also make use of concepts…
In many multiagent settings, such as electric vehicle charging and traffic routing, agents must make decisions in the face of uncertain behavior exhibited by others. Often, this uncertainty arises from multiple sources, such as incomplete…
Interactions between people are the basis on which the structure of our society arises as a complex system and, at the same time, are the starting point of any physical description of it. In the last few years, much theoretical research has…
Aggregating risks from multiple sources can be complex and demanding, and decision makers usually adopt heuristics to simplify the evaluation process. This paper axiomatizes two closed related and yet different heuristics, narrow bracketing…
In the present paper, we identify several distributions from Physics and study their applicability to phenomena such as distribution of income, wealth, and expenditure. Firstly, we apply logistic distribution to these data and we find that…
The decisions that human beings make to allocate time has significant bearing on economic output and to the sustenance of social networks. The time allocation problem motivates our formal analysis of the resource allocation game, where…
We consider the problem of optimizing lifetime consumption under a habit formation model, both with and without an exogenous pension. Unlike much of the existing literature, we apply a power utility to the ratio of consumption to habit,…
We investigate the ergodic problem of growth-rate maximization under a class of risk constraints in the context of incomplete, It\^{o}-process models of financial markets with random ergodic coefficients. Including {\em value-at-risk}…
We introduce a class of discrete random walk model driven by global memory effects. At any time the right-left transitions depend on the whole previous history of the walker, being defined by an urn-like memory mechanism. The characteristic…
We provide a probabilistic analysis of the banker algorithm when transition probabilities may depend on time and space. The transition probabilities evolve, as time goes by, along the trajectory of an ergodic Markovian environment, whereas…
This paper studies optimal consumption and saving decisions under uncertainty about the transition dynamics of the economic environment. We consider a general optimal savings problem in which the exogenous state governing discounting,…
We consider the optimal duration allocation in a decision making queue. Decision making tasks arrive at a given rate to a human operator. The correctness of the decision made by human evolves as a sigmoidal function of the duration…
Strategies aimed at reducing the negative effects of long-term uncertainty and risk are common in biology, game theory, and finance, even if they entail a cost in terms of mean benefit. Here, we focus on the single mutant's invasion of a…
Stochastic multiplicative dynamics characterize many complex natural phenomena such as selection and mutation in evolving populations, and the generation and distribution of wealth within social systems. Population heterogeneity in…
This paper investigates the dynamics of gambling and how they can affect risk-taking behavior in regions not explored by Kahneman and Tversky's Prospect Theory. Specifically, it questions why extreme outcomes do not fit the theory and…
This paper studies algorithmic decision-making under human's strategic behavior, where a decision maker uses an algorithm to make decisions about human agents, and the latter with information about the algorithm may exert effort…