Related papers: Identifying Preferences when Households are Financ…
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,…
Regression plays a key role in many research areas and its variable selection is a classic and major problem. This study emphasizes cost of predictors to be purchased for future use, when we select a subset of them. Its economic aspect is…
Most papers which explored so far macroeconomic variables took into account income and wealth. Equally important as the previous macroeconomic variables is the expenditure or consumption, which shows the amount of goods and services that a…
We propose a restrictiveness measure for economic models based on how well they fit synthetic data from a pre-defined class. This measure, together with a measure for how well the model fits real data, outlines a Pareto frontier, where…
To choose between two discrete goods, a consumer pays attention to only those with prices below a threshold. From these, she chooses her most preferred good. We assume consumers in a population have the same preference but may have…
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…
Techniques for decision making with knowledge of linear constraints on condition probabilities are examined. These constraints arise naturally in many situations: upper and lower condition probabilities are known; an ordering among the…
Statistical modeling can involve a tension between assumptions and statistical identification. The law of the observable data may not uniquely determine the value of a target parameter without invoking a key assumption, and, while…
Complexity of the problem of choosing among uncertain acts is a salient feature of many of the environments in which departures from expected utility theory are observed. I propose and axiomatize a model of choice under uncertainty in which…
We introduce statistical constraints, a declarative modelling tool that links statistics and constraint programming. We discuss two statistical constraints and some associated filtering algorithms. Finally, we illustrate applications to…
This paper studies privacy in the context of complex decision support queries composed of multiple conditions on different aggregate statistics combined using disjunction and conjunction operators. Utility requirements for such queries…
This paper studies the properties of the optimal portfolio-consumption strategies in a {finite horizon} robust utility maximization framework with different borrowing and lending rates. In particular, we allow for constraints on both…
This paper studies the role of households' heterogeneity in access to financial markets and the consumption of commodity goods in the transmission of foreign shocks. First, I use survey data from Uruguay to show that low income households…
We study situations where a group of voters need to take a collective decision over a number of public issues, with the goal of getting a result that reflects the voters' opinions in a proportional manner. Our focus is on interconnected…
We propose a novel approach to infer investors' risk preferences from their portfolio choices, and then use the implied risk preferences to measure the efficiency of investment portfolios. We analyze a dataset spanning a period of six…
Suppose data are fitted to some parametric model but that the true model happens to be one with an additional parameter. When a parameter is to be estimated one can use likelihood estimation in the wider model or in the narrow model.…
We revisit a classical question of how individual consumer preferences and incomes shape aggregate behavior. We develop a method that applies to populations with homothetic preferences and reduces the hard problem of aggregation to simply…
Many economic theory models incorporate finiteness assumptions that, while introduced for simplicity, play a real role in the analysis. We provide a principled framework for scaling results from such models by removing these finiteness…
We develop a nonparametric approach to identify and estimate consumer preferences and unobserved heterogeneity under nonlinear price schedules. Leveraging variation across multiple price schedules, we show that both the utility function and…
Worst-case bounds on the expected shortfall risk given only limited information on the distribution of the random variables has been studied extensively in the literature. In this paper, we develop a new worst-case bound on the expected…