Related papers: New developments in revealed preference theory: de…
Most decision theories, including expected utility theory, rank dependent utility theory and cumulative prospect theory, assume that investors are only interested in the distribution of returns and not in the states of the economy in which…
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…
This paper develops a framework to study the statistical power of revealed-preference tests. With randomly sampled budgets and mild smoothness of demand, statistical learning implies that any model consistent with the data must approximate…
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…
In this paper we extend Savage's theory of decision-making under uncertainty from a classical environment into a non-classical one. We formulate the corresponding axioms and provide representation theorems for qualitative measures and…
We consider Bayesian optimization of expensive-to-evaluate experiments that generate vector-valued outcomes over which a decision-maker (DM) has preferences. These preferences are encoded by a utility function that is not known in closed…
In random expected utility (Gul and Pesendorfer, 2006), the distribution of preferences is uniquely recoverable from random choice. This paper shows through two examples that such uniqueness fails in general if risk preferences are random…
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…
We provide a generalized revealed preference test for quasilinear preferences. The test applies to nonlinear budget sets and non-convex preferences as those found in taxation and nonlinear pricing contexts. We study the prevalence of…
We present a new strategic voting model where we use uncertainty representation to model preferences. Specifically, we use probability sets as uncertainty representations, together with lower and upper expected utility gains to take…
In this paper an interesting application of mathematics in economics is presented: the formulation of the theory of consumer basic problem, grounded on the concept of preferences relation and operationalized with optimization tools.
The expected utility hypothesis is a popular concept in economics that is useful for making decisions when the payoff is uncertain. In this paper, we investigate the implications of a fluctuation theorem in the theory of expected utility.…
We consider the problem of learning from revealed preferences in an online setting. In our framework, each period a consumer buys an optimal bundle of goods from a merchant according to her (linear) utility function and current prices,…
The ability to uncover preferences from choices is fundamental for both positive economics and welfare analysis. Overwhelming evidence shows that choice is stochastic, which has given rise to random utility models as the dominant paradigm…
The problem of scheduling with testing in the framework of explorable uncertainty models environments where some preliminary action can influence the duration of a task. In the model, each job has an unknown processing time that can be…
Choice modeling has been a central topic in the study of individual preference or utility across many fields including economics, marketing, operations research, and psychology. While the vast majority of the literature on choice models has…
We consider a model for decision making based on an adaptive, k-period, learning process where the priors are selected according to Von Neumann-Morgenstern expected utility principle. A preference relation between two prospects is…
In this work we generalize standard Decision Theory by assuming that two outcomes can also be incomparable. Two motivating scenarios show how incomparability may be helpful to represent those situations where, due to lack of information,…
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…
Motivated by several classic decision-theoretic paradoxes, and by analogies with the paradoxes which in physics motivated the development of quantum mechanics, we introduce a projective generalization of expected utility along the lines of…