Related papers: Dual theory of choice with multivariate risks
In this paper, we introduce two alternative extensions of the classical univariate Value-at-Risk (VaR) in a multivariate setting. The two proposed multivariate VaR are vector-valued measures with the same dimension as the underlying risk…
We provide an axiomatic foundation for the representation of num\'{e}raire-invariant preferences of economic agents acting in a financial market. In a static environment, the simple axioms turn out to be equivalent to the following choice…
This paper focuses on generalizing quantiles from the ordering point of view. We propose the concept of partial quantiles, which are based on a given partial order. We establish that partial quantiles are equivariant under order-preserving…
Understanding the nature of strategic voting is the holy grail of social choice theory, where game-theory, social science and recently computational approaches are all applied in order to model the incentives and behavior of voters. In a…
This paper presents a method for incorporating risk aversion into existing decision tree models used in economic evaluations. The method involves applying a probability weighting function based on rank dependent utility theory to reduced…
Statistical causal inference from observational studies often requires adjustment for a possibly multi-dimensional variable, where dimension reduction is crucial. The propensity score, first introduced by Rosenbaum and Rubin, is a popular…
Challenge Theory (CT), a new approach to decision under risk departs significantly from expected utility, and is based on firmly psychological, rather than economic, assumptions. The paper demonstrates that a purely cognitive-psychological…
Sensitivity analysis in probabilistic discrete graphical models is usually conducted by varying one probability value at a time and observing how this affects output probabilities of interest. When one probability is varied then others are…
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 analyze two recent axiomatic approaches proposed by Dubois et al and by Giang and Shenoy to qualitative decision making where uncertainty is described by possibility theory. Both axiomtizations are inspired by von Neumann…
This paper is concerned with learning decision makers' preferences using data on observed choices from a finite set of risky alternatives. We propose a discrete choice model with unobserved heterogeneity in consideration sets and in…
Different voters behave differently, different governments make different decisions, or different organizations are ruled differently. Many research questions important to political scientists concern choice behavior, which involves dealing…
An econometric or statistical model may undergo a marginal gain if we admit a new variable to the model, and a marginal loss if we remove an existing variable from the model. Assuming equality of opportunity among all candidate variables,…
An important characteristic of many logics for Artificial Intelligence is their nonmonotonicity. This means that adding a formula to the premises can invalidate some of the consequences. There may, however, exist formulae that can always be…
We introduce a rational inattention model which produces a unique, interior, weighted multinomial logit conditional choice probability for an agent who acquires costly information about the hedonic characteristics (e.g. whether an insurance…
We provide and axiomatize a representation for preferences over lotteries that generalizes the expected utility model. Since the representation uses different utility functions to evaluate different lotteries, the preferences can be…
Difficulties over probability have often been considered fatal to the Everett interpretation of quantum mechanics. Here I argue that the Everettian can have everything she needs from `probability' without recourse to indeterminism,…
We present the first calibration of quantum decision theory (QDT) to a dataset of binary risky choice. We quantitatively account for the fraction of choice reversals between two repetitions of the experiment, using a probabilistic choice…
We expose a theoretical hedging optimization framework with variational preferences under convex risk measures. We explore a general dual representation for the composition between risk measures and utilities. We study the properties of the…
Two acts are comonotonic if they yield high payoffs in the same states of nature. The main purpose of this paper is to derive a new characterization of Cumulative Prospect Theory (CPT) through simple properties involving comonotonicity. The…