Related papers: Existence and Uniqueness of Recursive Utility Mode…
A method for the analytical evaluation of layer potentials arising in the collocation boundary element method for the Laplace and Helmholtz equation is developed for piecewise flat boundary elements with polynomial shape functions. The…
We offer a rationalization of the weak generalized axiom of revealed preference (WGARP) for both finite and infinite data sets of consumer choice. We call it maximin rationalization, in which each pairwise choice is associated with a…
Learning from Preferential Feedback (LfPF) plays an essential role in training Large Language Models, as well as certain types of interactive learning agents. However, a substantial gap exists between the theory and application of LfPF…
We generalize the stochastic revealed preference methodology of McFadden and Richter (1990) for finite choice sets to settings with limited consideration. Our approach is nonparametric and requires partial choice set variation. We impose a…
On taking a non-trivial and semi-transitive bi-relation constituted by two (hard and soft) binary relations, we report a (i) p-continuity assumption that guarantees the completeness and transitivity of its soft part, and a (ii)…
Suppose that $Y$ is a scalar and $X$ is a second-order stochastic process, where $Y$ and $X$ are conditionally independent given the random variables $\xi_1,...,\xi_p$ which belong to the closed span $L_X^2$ of $X$. This paper investigates…
We provide sufficient conditions under which a utility function may be recovered from a finite choice experiment. Identification, as is commonly understood in decision theory, is not enough. We provide a general recoverability result that…
With $P_t$ the price in current dollars of a dollar delivered $t$ time units from now, we assume that $P$ is a decreasing function defined for $t \in \mathbb{R}_+$ with $P_0 = 1$. The negative logarithmic derivative, $-…
Recurrence equations have played a central role in static cost analysis, where they can be viewed as abstractions of programs and used to infer resource usage information without actually running the programs with concrete data. Such…
We introduce a novel approach to solving the optimal portfolio choice problem under Epstein-Zin utility with a time-varying consumption constraint, where analytical expressions for the value function and the dual value function are not…
In a series of recent papers Barndorff-Nielsen and Shephard introduce an attractive class of continuous time stochastic volatility models for financial assets where the volatility processes are functions of positive Ornstein-Uhlenbeck(OU)…
In a consideration set model, an individual maximizes utility among the considered alternatives. I relate a consideration set additive random utility model to classic discrete choice and the extended additive random utility model, in which…
Reference prices have long been studied in applied economics and business research. One of the classic formulations of the reference price is in terms of an iterative function of past prices. There are a number of limitations of such a…
Monotonicity and recursivity are central assumptions in intertemporal consumption problems under ambiguity. We show that monotone recursive preferences admit both a recursive and an ex-ante representation, and that the certainty equivalent…
In this paper, we construct and compare algorithmic approaches to solve the Preference Consistency Problem for preference statements based on hierarchical models. Instances of this problem contain a set of preference statements that are…
In this work we propose lifted regression/reconstruction networks (LRRNs), which combine lifted neural networks with a guaranteed Lipschitz continuity property for the output layer. Lifted neural networks explicitly optimize an energy model…
I study intertemporal hedging demand in a continuous-time multi-asset long-run risk (LRR) model under Epstein--Zin (EZ) recursive preferences. The investor trades a risk-free asset and several risky assets whose drifts and volatilities…
We provide sufficient conditions for the existence and uniqueness of solutions to a stochastic differential equation which arises in a price impact model. These conditions are stated as smoothness and boundedness requirements on utility…
This short expository note provides an introduction to the concept of chain recurrence in topological dynamics and a proof of the existence complete Lyapunov functions for homeomorphisms of compact metric spaces due to Charles Conley. I…
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…