Related papers: Decision Making under Uncertainty: An Experimental…
Diversification is the typical investment strategy of risk-averse agents. However, non-diversified positions that allocate all resources to a single asset, state of the world or revenue stream are common too. We show that whenever finitely…
Recovering and distinguishing between the strict-preference, indifference and/or indecisiveness parts of a decision maker's preferences is a challenging task but also important for testing theory and conducting welfare analysis. This paper…
In the theory of social choice the research is focused around the projection of individual preference orders to the social preference order. Also, the justification of the preference order formalism begins with the concept of utility i.e.…
We provide and axiomatize a representation for preferences over lotteries that generalizes the expected utility model. Since the representation uses different utility functions to evaluate different lotteries, the preferences can be…
The development of new methods and representations for temporal decision-making requires a principled basis for characterizing and measuring the flexibility of decision strategies in the face of uncertainty. Our goal in this paper is to…
Traditional learning approaches for classification implicitly assume that each mistake has the same cost. In many real-world problems though, the utility of a decision depends on the underlying context $x$ and decision $y$. However,…
In this paper, we consider the revealed preferences problem from a learning perspective. Every day, a price vector and a budget is drawn from an unknown distribution, and a rational agent buys his most preferred bundle according to some…
One purpose -- quite a few thinkers would say the main purpose -- of seeking knowledge about the world is to enhance our ability to make good decisions. An item of knowledge that can make no conceivable difference with regard to anything we…
The problem of quantification of emotions in the choice between alternatives is considered. The alternatives are evaluated in a dual manner. From one side, they are characterized by rational features defining the utility of each…
Since Leonard Savage's epoch-making "Foundations of Statistics", Subjective Expected Utility Theory has been the presumptive model for decision-making. Savage provided an act-based axiomatization of standard expected utility theory. In 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…
We perform a stability analysis for the utility maximization problem in a general semimartingale model where both liquid and illiquid assets (random endowments) are present. Small misspecifications of preferences (as modeled via expected…
We derive axiomatically the probability function that should be used to make decisions given any form of underlying uncertainty.
A group of experts, for instance climate scientists, is to choose among two policies $f$ and $g$. Consider the following decision rule. If all experts agree that the expected utility of $f$ is higher than the expected utility of $g$, the…
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…
Many experimental studies report that economics students tend to act more selfishly than students of other disciplines, a finding that received widespread public and professional attention. Two main explanations that the existing literature…
If uncertainty is modelled by a probability measure, decisions are typically made by choosing the option with the highest expected utility. If an imprecise probability model is used instead, this decision rule can be generalised in several…
We study a robust utility maximization problem in a general discrete-time frictionless market under quasi-sure no-arbitrage. The investor is assumed to have a random and concave utility function defined on the whole real-line. She also…
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…
In mainstream neoclassical economics, utility maximization is the only engine of individual action, and the other or the social, if it is modeled for decisions deemed fundamental, it is done as a tacit externality parameter affecting an…