Related papers: Random Non-Expected Utility: Non-Uniqueness
Theorem 1 in Bikhchandani & Segal (2011; Theoretical Economics) suggests that a complete, transitive, monotonic, and continuous preference is regret based if and only if it is expected utility. Their Proposition 1 suggests that transitivity…
The von Neumann-Morgenstern (VNM) utility theorem shows that under certain axioms of rationality, decision-making is reduced to maximizing the expectation of some utility function. We extend these axioms to increasingly structured…
In this article we recover the distribution function (and possible density) of an arbitrary random variable that is subject to an additive measurement error. This problem is also known as deconvolution and has a long tradition in…
One-sided matching mechanisms are fundamental for assigning a set of indivisible objects to a set of self-interested agents when monetary transfers are not allowed. Two widely-studied randomized mechanisms in multiagent settings are the…
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…
The principle that rational agents should maximize expected utility or choiceworthiness is intuitively plausible in many ordinary cases of decision-making under uncertainty. But it is less plausible in cases of extreme, low-probability risk…
In the present article we use the quantum formalism to describe the effects of risk and ambiguity in decision theory. The main idea is that the probabilities in the classic theory of expected utility are estimated probabilities, and thus do…
In an arbitrage-free simple market, we demonstrate that for a class of state-dependent exponential utilities, there exists a unique prediction of the random risk aversion that ensures the consistency of optimal strategies across any time…
In Regression Discontinuity (RD) design, self-selection leads to different distributions of covariates on two sides of the policy intervention, which essentially violates the continuity of potential outcome assumption. The standard RD…
Addressing the question of how to achieve optimal decision-making under risk and uncertainty is crucial for enhancing the capabilities of artificial agents that collaborate with or support humans. In this work, we address this question in…
Recently several authors have proposed stochastic evolutionary models for the growth of complex networks that give rise to power-law distributions. These models are based on the notion of preferential attachment leading to the ``rich get…
Plotting a learner's average performance against the number of training samples results in a learning curve. Studying such curves on one or more data sets is a way to get to a better understanding of the generalization properties of this…
The assortment problem in revenue management is the problem of deciding which subset of products to offer to consumers in order to maximise revenue. A simple and natural strategy is to select the best assortment out of all those that are…
The long-standing unitary-actor assumption in strategy research -- treating firms as monolithic entities with coherent preferences -- misses that organizations are coalitions of individuals with diverse and often conflicting goals. Although…
In the hypothesis of rare loss events, the general expression of the policy value has been determined as a functional of the "expected frequency / loss severity" function and of the retention function. Exponential disutility has been chosen…
We consider an analyst whose goal is to identify a subject's utility function through revealed preference analysis. We argue the analyst's preference about which experiments to run should adhere to three normative principles: The first,…
A mixture preorder is a preorder on a mixture space (such as a convex set) that is compatible with the mixing operation. In decision theoretic terms, it satisfies the central expected utility axiom of strong independence. We consider when a…
Assuming that agents' preferences satisfy first-order stochastic dominance, we show how the Expected Utility paradigm can rationalize all optimal investment choices: the optimal investment strategy in any behavioral law-invariant…
In this paper we study a robust expected utility maximization problem with random endowment in discrete time. We give conditions under which an optimal strategy exists and derive a dual representation for the optimal utility. Our approach…
Empirical welfare analyses often impose stringent parametric assumptions on individuals' preferences and neglect unobserved preference heterogeneity. We develop a framework to conduct individual and social welfare analysis for discrete…