Related papers: Time discounting under uncertainty
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…
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…
Contract scheduling is a general technique that allows to design a system with interruptible capabilities, given an algorithm that is not necessarily interruptible. Previous work on this topic has largely assumed that the interruption is a…
Neural networks make accurate predictions but often fail to provide reliable uncertainty estimates, especially under covariate distribution shifts between training and testing. To address this problem, we propose a Bayesian framework for…
Polling systems with losses are useful mathematical objects that can model many practical systems like travelling salesman problem with recurrent requests. One of the less studied yet an important aspect in such systems is the disparity in…
We consider a discrete time financial market with proportional transaction costs under model uncertainty, and study a num\'eraire-based semi-static utility maximization problem with an exponential utility preference. The randomization…
This paper studies stability of the exponential utility maximization when there are small variations on agent's utility function. Two settings are considered. First, in a general semimartingale model where random endowments are present, a…
We study the pricing and hedging of derivative securities with uncertainty about the volatility of the underlying asset. Rather than taking all models from a prespecified class equally seriously, we penalise less plausible ones based on…
We study fair allocation of constrained resources, where a market designer optimizes overall welfare while maintaining group fairness. In many large-scale settings, utilities are not known in advance, but are instead observed after…
The main goal of this paper is to investigate which normative requirements, or axioms, lead to exponential and quasi-hyperbolic forms of discounting. Exponential discounting has a well-established axiomatic foundation originally developed…
In this paper we study a rational inattention model in environments where the decision maker faces uncertainty about the true prior distribution over states. The decision maker seeks to select a stochastic choice rule over a finite set of…
This paper formulates a model of utility for a continuous time framework that captures the decision-maker's concern with ambiguity about both the drift and volatility of the driving process. At a technical level, the analysis requires a…
The expectation is an example of a descriptive statistic that is monotone with respect to stochastic dominance, and additive for sums of independent random variables. We provide a complete characterization of such statistics, and explore a…
We provide foundations for decisions in face of unlikely events by extending the standard framework of Savage to include preferences indexed by a family of events. We derive a subjective lexicographic expected utility representation which…
We develop a new identification strategy for demand estimation when cost shifters may not be available and there are substantial variations in demand over time. This approaches relies on a kind of nonlinear difference-in-differences, in…
We study a dynamic generalization of stochastic rationality in consumer behavior, the Dynamic Random Utility Model (DRUM). Under DRUM, a consumer draws a utility function from a stochastic utility process and maximizes this utility subject…
We study the design of efficient mechanisms under asymmetric awareness and information. Unawareness refers to the lack of conception rather than the lack of information. Assuming quasi-linear utilities and private values, we show that we…
This paper axiomatizes, in a two-stage setup, a new theory for decision under risk and ambiguity. The axiomatized preference relation $\succeq$ on the space $\tilde{V}$ of random variables induces an ambiguity index $c$ on the space…
Time variability is a pervasive feature of mobility services and a major source of welfare loss. Although literature has quantified the cost of time variability (COTV), it remains theoretically unclear how bad time variability can be in the…
We study a discrete-time consumption-based capital asset pricing model under expectations-based reference-dependent preferences. More precisely, we consider an endowment economy populated by a representative agent who derives utility from…