Related papers: Time discounting under uncertainty
We study preferences estimated from finite choice experiments and provide sufficient conditions for convergence to a unique underlying "true" preference. Our conditions are weak, and therefore valid in a wide range of economic environments.…
An important question in economics is how people choose between different payments in the future. The classical normative model predicts that a decision maker discounts a later payment relative to an earlier one by an exponential function…
Existing observational approaches for learning human preferences, such as inverse reinforcement learning, usually make strong assumptions about the observability of the human's environment. However, in reality, people make many important…
We consider a decision maker who is unaware of objects to be sampled and thus cannot form beliefs about the occurrence of particular objects. Ex ante she can form beliefs about the occurrence of novelty and the frequencies of yet to be…
We consider the robust exponential utility maximization problem in discrete time: An investor maximizes the worst case expected exponential utility with respect to a family of nondominated probabilistic models of her endowment by…
We propose and axiomatize preferences on a product state space in light of uncertainty regarding the dependency of different payoff-relevant factors. Dependence structures allow to decompose probabilities and allow to pin down behavior…
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…
This paper provides nonparametric identification results for random coefficient distributions in perturbed utility models. We cover discrete and continuous choice models. We establish identification using variation in mean quantities, and…
Ergodicity describes an equivalence between the expectation value and the time average of observables. Applied to human behaviour, ergodic theories of decision-making reveal how individuals should tolerate risk in different environments. To…
This paper studies preference aggregation under risk. In our model, each agent has an incomplete preference relation represented by a set of expected utility functions. The classical Pareto principle is silent on agreement involving…
We consider an expected utility maximization problem where the utility function is not necessarily concave and the time horizon is uncertain. We establish a necessary and sufficient condition for the optimality for general non-concave…
Real-world time series are characterized by intrinsic non-stationarity that poses a principal challenge for deep forecasting models. While previous models suffer from complicated series variations induced by changing temporal distribution,…
Subjective expected utility theory assumes that decision-makers possess unlimited computational resources to reason about their choices; however, virtually all decisions in everyday life are made under resource constraints - i.e.…
In this paper, we consider electric vehicle charging facilities that offer various levels of service for varying prices such that rational users choose a level of service that minimizes the total cost to themselves including an opportunity…
We consider a spatially distributed demand for electrical vehicle recharging, that must be covered by a fixed set of charging stations. Arriving EVs receive feedback on transport times to each station, and waiting times at congested ones,…
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…
Expected Utility: Algebraic Expected Utility In this paper, we provide two axiomatizations of algebraic expected utility, which is a particular generalized expected utility, in a von Neumann-Morgenstern setting, i.e. uncertainty…
We obtain an elementary characterization of expected utility based on a representation of choice in terms of psychological gambles, which requires no assumption other than coherence between ex-ante and ex-post preferences. Weaker version of…
In this study, we consider the asset pricing under model uncertainty with discrete time and states structure. For the single-period securities model, we give a novel definition of arbitrage under a family of probability, and explore of its…
We present stability conditions for deterministic time-varying nonlinear discrete-time systems whose inputs aim to minimize an infinite-horizon time-dependent cost. Global asymptotic and exponential stability properties for general…