Related papers: Dual theory of choice with multivariate risks
In this paper, we are concerned with the optimization of a dynamic investment portfolio when the securities which follow a multivariate Merton model with dependent jumps are periodically invested and proceed by approximating the…
Science can be seen as a sequential process where each new study augments evidence to the existing knowledge. To have the best prospects to make an impact in this process, a new study should be designed optimally taking into account the…
Consider Plurality with random tie-breaking. This paper uses standard axiomatic extensions of preferences over elements to preferences over sets (Kelly, Gardenfors, Responsiveness) to characterize all better-replies of a voter under…
We derive a family of risk-sensitive reinforcement learning methods for agents, who face sequential decision-making tasks in uncertain environments. By applying a utility function to the temporal difference (TD) error, nonlinear…
We consider dominant strategy implementation in private values settings, when agents have multi-dimensional types, the set of alternatives is finite, monetary transfers are allowed, and agents have quasi-linear utilities. We show that any…
This paper considers the scenario in which there are multiple institutions, each with a limited capacity for candidates, and candidates, each with preferences over the institutions. A central entity evaluates the utility of each candidate…
We study the binary choice problem in a data-rich environment with asymmetric loss functions. The econometrics literature covers nonparametric binary choice problems but does not offer computationally attractive solutions in data-rich…
In random expected utility (Gul and Pesendorfer, 2006), the distribution of preferences is uniquely recoverable from random choice. This paper shows through two examples that such uniqueness fails in general if risk preferences are random…
Ergodicity describes an equivalence between the expectation value and the time average of observables. Applied to human behaviour, ergodic theories of decision-making reveal how individuals should tolerate risk in different environments. To…
We provide a new characterization of second-order stochastic dominance, also known as increasing concave order. The result has an intuitive interpretation that adding a risk with negative expected value in adverse scenarios makes the…
Classical Decision Theory provides a normative framework for representing and reasoning about complex preferences. Straightforward application of this theory to automate decision making is difficult due to high elicitation cost. In response…
We demonstrate a limitation of discounted expected utility, a standard approach for representing the preference to risk when future cost is discounted. Specifically, we provide an example of the preference of a decision maker that appears…
We propose a game-theoretic framework that incorporates both incomplete information and general ambiguity attitudes on factors external to all players. Our starting point is players' preferences on payoff-distribution vectors, essentially…
Choice overload - in which larger choice sets are detrimental to a chooser's well-being - is potentially of great importance in the design of economic policy. Yet the current evidence on its prevalence is inconclusive. We argue that…
We use the framework of multivariate regular variation to analyse the extremal behaviour of preferential attachment models. To this end, we follow a directed linear preferential attachment model for a random, heavy-tailed number of steps in…
In economics, insurance and finance, value at risk (VaR) is a widely used measure of the risk of loss on a specific portfolio of financial assets. For a given portfolio, time horizon, and probability $\alpha$, the $100\alpha\%$ VaR is…
We consider black-box global optimization of time-consuming-to-evaluate functions on behalf of a decision-maker (DM) whose preferences must be learned. Each feasible design is associated with a time-consuming-to-evaluate vector of…
In response to a concern raised by Horty, this paper develops a two-tiered, preference-based semantic framework for modeling defeasible conditional obligations. The paper extends a Hansson-Lewis style preference semantics for dyadic deontic…
We study the problem of selection in the context of Bayesian persuasion. We are given multiple agents with hidden values (or quality scores), to whom resources must be allocated by a welfare-maximizing decision-maker. An intermediary with…
In a typical model of private information and choice under uncertainty, a decision maker observes a signal, updates her prior beliefs using Bayes rule, and maximizes her expected utility. If the decision maker's utility function satisfies…