Related papers: A Theory of Choice Bracketing under Risk
Choice functions constitute a simple, direct and very general mathematical framework for modelling choice under uncertainty. In particular, they are able to represent the set-valued choices that typically arise from applying decision rules…
Egalitarian considerations play a central role in many areas of social choice theory. Applications of egalitarian principles range from ensuring everyone gets an equal share of a cake when deciding how to divide it, to guaranteeing balance…
We consider the robust exponential utility maximization problem in discrete time: An investor maximizes the worst case expected exponential utility with respect to a family of nondominated probabilistic models of her endowment by…
Strategies aimed at reducing the negative effects of long-term uncertainty and risk are common in biology, game theory, and finance, even if they entail a cost in terms of mean benefit. Here, we focus on the single mutant's invasion of a…
There is currently a focus on statistical methods which can use historical trial information to help accelerate the discovery, development and delivery of medicine. Bayesian methods can be constructed so that the borrowing is "dynamic" in…
Evaluating joint probabilities of potential outcomes and observed variables, and their linear combinations, is a fundamental challenge in causal inference. This paper addresses the bounding and identification of these probabilities in…
We distinguish two frameworks for decisions under ambiguity: evaluate-then-aggregate (ETA) and aggregate-then-evaluate (ATE). Given a statistic that represents the decision maker's pure-risk preferences (such as expected utility) and an…
This paper considers the portfolio management problem of optimal investment, consumption and life insurance. We are concerned with time inconsistency of optimal strategies. Natural assumptions, like different discount rates for consumption…
This paper studies the identification, estimation, and hypothesis testing problem in complete and incomplete economic models with testable assumptions. Testable assumptions ($A$) give strong and interpretable empirical content to the models…
In this paper we extend the theory of option pricing to take into account and explain the empirical evidence for asset prices such as non-Gaussian returns, long-range dependence, volatility clustering, non-Gaussian copula dependence, as…
This paper extends my research applying statistical decision theory to treatment choice with sample data, using maximum regret to evaluate the performance of treatment rules. The specific new contribution is to study as-if optimization…
This paper empirically analyzes how individual characteristics are associated with risk aversion, loss aversion, time discounting, and present bias. To this end, we conduct a large-scale demographically representative survey across eight…
Under non-exponential discounting, we develop a dynamic theory for stopping problems in continuous time. Our framework covers discount functions that induce decreasing impatience. Due to the inherent time inconsistency, we look for…
Regression plays a key role in many research areas and its variable selection is a classic and major problem. This study emphasizes cost of predictors to be purchased for future use, when we select a subset of them. Its economic aspect is…
In this paper, it is shown that a simple formulation of Economic Model Predictive Control can be used which possesses two features that are generally viewed as mutually exclusive, namely, a rather short prediction horizon…
Convex sample approximations of chance-constrained optimization problems are considered, in which chance constraints are replaced by sets of sampled constraints. We propose a randomized sample selection strategy that allows tight bounds to…
Analysis of competing risks data plays an important role in the lifetime data analysis. Recently Feizjavadian and Hashemi (Computational Statistics and Data Analysis, vol. 82, 19-34, 2015) provided a classical inference of a competing risks…
Various structured argumentation frameworks utilize preferences as part of their standard inference procedure to enable reasoning with preferences. In this paper, we consider an inverse of the standard reasoning problem, seeking to identify…
In this paper, I introduce a random attention span model (RAS) which uses stopping time to identify decision-makers' behavior under limited attention. Unlike many limited attention models, the RAS identifies preferences using time variation…
Correlated equilibria enable a coordinator to influence the self-interested agents by recommending actions that no player has an incentive to deviate from. However, the effectiveness of this mechanism relies on accurate knowledge of the…