Related papers: Decision Making under Uncertainty: An Experimental…
We give a general formulation of the utility maximization problem under nondominated model uncertainty in discrete time and show that an optimal portfolio exists for any utility function that is bounded from above. In the unbounded case,…
In many areas of data mining, data is collected from humans beings. In this contribution, we ask the question of how people actually respond to ordinal scales. The main problem observed is that users tend to be volatile in their choices,…
Towards the realization of a sustainable, fair and inclusive society, we proposed a novel decision-making model that incorporates social norms in a rational choice model from the standpoints of deontology and utilitarianism. We proposed a…
We bound features of counterfactual choices in the nonparametric random utility model of demand, i.e. if observable choices are repeated cross-sections and one allows for unrestricted, unobserved heterogeneity. In this setting, tight bounds…
We study intertemporal decision making under uncertainty. We fully characterize discounted expected utility in a framework \`a la Savage. Despite the popularity of this model, no characterization is available in this setting. The concept of…
This paper focuses on price-based residential demand response implemented through dynamic adjustments of electricity prices during DR events. It extends existing DR models to a stochastic framework in which customer response is represented…
Unaided human decision making appears to systematically violate consistency constraints imposed by normative theories; these biases in turn appear to justify the application of formal decision-analytic models. It is argued that both claims…
We elicit incomplete preferences over monetary gambles with subjective uncertainty. Subjects rank gambles, and these rankings are used to estimate preferences; payments are based on estimated preferences. About 40\% of subjects express…
In consumer theory, ranking available objects by means of preference relations yields the most common description of individual choices. However, preference-based models assume that individuals: (1) give their preferences only between pairs…
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…
We live in a world brimming with uncertainty, where we constantly have to make a lot of decisions under incomplete information. We are firm believers that our subjective belief cannot be computed by rigorous mathematical formula; instead…
Users can now give back energies to the grid using distributed resources. Proper incentive mechanisms are required for such users, also known as prosumers, in order to maximize the sell-back amount while maintaining the retailer's profit.…
Counterfactual utilities evaluate decisions not only by the realized outcome under a given decision, but also by the counterfactual outcomes that would arise under alternative decisions. By generalizing standard utility frameworks, they…
In game theory and artificial intelligence, decision making models often involve maximizing expected utility, which does not respect ordinal invariance. In this paper, the author discusses the possibility of preserving ordinal invariance…
The problem of robust utility maximization in an incomplete market with volatility uncertainty is considered, in the sense that the volatility of the market is only assumed to lie between two given bounds. The set of all possible models…
Choice overload - in which larger choice sets are detrimental to a chooser's well-being - is potentially of great importance in the design of economic policy. Yet the current evidence on its prevalence is inconclusive. We argue that…
We develop a tractable model of realization utility that studies the role of reference-dependent S-shaped preferences in a dynamic investment setting with reinvestment. Our model generates both voluntarily realized gains and losses. It…
Many different rules for decision making have been introduced in the literature. We show that a notion of generalized expected utility proposed in Part I of this paper is a universal decision rule, in the sense that it can represent…
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…
Experiments suggest that people fail to take into account interdependencies between their choices -- they do not broadly bracket. Researchers often instead assume that people narrowly bracket, but existing designs do not test it. We design…