Related papers: Local Utility and Multivariate Risk Aversion

We implement nonparametric revealed-preference tests of subjective expected utility theory and its generalizations. We find that a majority of subjects' choices are consistent with the maximization of some utility function. They respond to…

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…

We consider market players with tail-risk-seeking behaviour as exemplified by the S-shaped utility introduced by Kahneman and Tversky. We argue that risk measures such as value at risk (VaR) and expected shortfall (ES) are ineffective in…

An investor's risk aversion is assumed to tend to infinity. In a fairly general setting, we present conditions ensuring that the respective utility indifference prices of a given contingent claim converge to its super replication price.

We present a framework for constructing multivariate risk measures that is inspired from univariate Optimized Certainty Equivalent (OCE) risk measures. We show that this new class of risk measures verifies the desirable properties such as…

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…

A dynamic model of collective consumption and saving decisions made by a finite number of agents with constant but different discount rates is developed. Collective utility is a weighted sum of individual utilities with time-varying utility…

The aim of this paper is to introduce a risk measure that extends the Gini-type measures of risk and variability, the Extended Gini Shortfall, by taking risk aversion into consideration. Our risk measure is coherent and catches variability,…

Risk sensitivity has become a central theme in reinforcement learning (RL), where convex risk measures and robust formulations provide principled ways to model preferences beyond expected return. Recent extensions to multi-agent RL (MARL)…

This paper discusses an alternative explanation for the empirical findings contradicting the positive relationship between risk (variance) and reward (expected return). We show that these contradicting results might be due to the false…

Multivariate data that combine binary, categorical, count and continuous outcomes are common in the social and health sciences. We propose a semiparametric Bayesian latent variable model for multivariate data of arbitrary type that does not…

Expected Utility: Algebraic Expected Utility In this paper, we provide two axiomatizations of algebraic expected utility, which is a particular generalized expected utility, in a von Neumann-Morgenstern setting, i.e. uncertainty…

We represent preferences that exhibit absolute or relative attitudes towards ambiguity without assuming convexity of preferences. Our analysis is motivated by the recent experimental evidence by Baillon and Placido (2019) indicating that…

Spectral risk measures (SRMs) are risk measures that take account of user riskaversion, but to date there has been little guidance on the choice of utility function underlying them. This paper addresses this issue by examining alternative…

Reinforcement Learning (RL) has gained substantial attention across diverse application domains and theoretical investigations. Existing literature on RL theory largely focuses on risk-neutral settings where the decision-maker learns to…

In this work, the estimation of the multivariate normal mean by different classes of shrinkage estimators is investigated. The risk associated with the balanced loss function is used to compare two estimators. We start by considering…

This paper builds a rule for decisionmaking from the physical behavior of single neurons, the well established neural circuitry of mutual inhibition, and the evolutionary principle of natural selection. No axioms are used in the derivation…

We introduce an extension to Merton's famous continuous time model of optimal consumption and investment, in the spirit of previous works by Pliska and Ye, to allow for a wage earner to have a random lifetime and to use a portion of the…

In latent variable models the parameter estimation can be implemented by using the joint or the marginal likelihood, based on independence or conditional independence assumptions. The same dilemma occurs within the Bayesian framework with…

We study stability properties of the expected utility function in Bayesian optimal experimental design. We provide a framework for this problem in a non-parametric setting and prove a convergence rate of the expected utility with respect to…