Related papers: Dual theory of choice with multivariate risks

This paper investigates the use of risk measures and theories of choice for modeling risk-averse route choice and traffic network equilibrium with random travel times. We interpret the postulates of these theories in the context of routing,…

We introduce a new paradigm for risk sharing that generalizes earlier models based on discrete agents and extends them to allow for sharing risk within a continuum of agents. Agents are represented by points of a measure space and have…

An approach is presented treating decision theory as a probabilistic theory based on quantum techniques. Accurate definitions are given and thorough analysis is accomplished for the quantum probabilities describing the choice between…

In this paper, we aims to state some proprieties of willingness to pay (WTP) for partial risk reduction and links with insurance within the dual theory of decision. In the case of partial reduction, we get as Langlais (2005) that a…

This paper presents a systematic study of the notion of surplus invariance, which plays a natural and important role in the theory of risk measures and capital requirements. So far, this notion has been investigated in the setting of some…

Multicriteria decision analysis aims at supporting a person facing a decision problem involving conflicting criteria. We consider an additive utility model which provides robust conclusions based on preferences elicited from the decision…

It is well known that a random vector with given marginal distributions is comonotonic if and only if it has the largest sum with respect to the convex order [ Kaas, Dhaene, Vyncke, Goovaerts, Denuit (2002), A simple geometric proof that…

In choice under risk, there is a standard notion of 'less risk-averse than', due to Yaari (1969). In the theory of comparative statics, the single-crossing property is satisfied by all weighted averages of a family of single-crossing…

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…

We propose center-outward superquantile and expected shortfall functions, with applications to multivariate risk measurements, extending the standard notion of value at risk and conditional value at risk from the real line to…

This paper investigates the problem of finding a preference relation on a set of acts from the knowledge of an ordering on events (subsets of states of the world) describing the decision-maker (DM)s uncertainty and an ordering of…

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 introduce a way to compare actions in decision problems. One action is safer than another if the set of beliefs at which the decision-maker prefers the safer action expands as the decision-maker becomes more risk averse. We provide a…

Random utility theory models an agent's preferences on alternatives by drawing a real-valued score on each alternative (typically independently) from a parameterized distribution, and then ranking the alternatives according to scores. A…

We introduce an Attention Overload Model that captures the idea that alternatives compete for the decision maker's attention, and hence the attention that each alternative receives decreases as the choice problem becomes larger. Using this…

In this paper, we analyze the behavior of the multivariate symmetric uncertainty (MSU) measure through the use of statistical simulation techniques under various mixes of informative and non-informative randomly generated features.…

We consider the problem of estimating assortment probabilities, which is common in operations management applications, including product bundling, advertising, etc. Existing approaches typically model each assortment as a category and apply…

Consider an investor trading dynamically to maximize expected utility from terminal wealth. Our aim is to study the dependence between her risk aversion and the distribution of the optimal terminal payoff. Economic intuition suggests that…

Becker (1973) presents a bilateral matching model in which scalar types describe agents. For this framework, he establishes the conditions under which positive sorting between agents' attributes is the unique market outcome. Becker's…

Eliciting preferences from human judgements is inherently imprecise, yet most decision analysis methods force a single priority vector from pairwise comparisons, discarding the information embedded in inconsistencies. We instead leverage…