Related papers: A Theory of Choice Bracketing under Risk
The principle that rational agents should maximize expected utility or choiceworthiness is intuitively plausible in many ordinary cases of decision-making under uncertainty. But it is less plausible in cases of extreme, low-probability risk…
We introduce a new methodology that enables detection of the onset of convergence towards Nash equilibria in simple repeated games with infinitely large strategy spaces, thereby revealing the heuristics used in decision-making. The method…
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…
We propose and axiomatize preferences on a product state space in light of uncertainty regarding the dependency of different payoff-relevant factors. Dependence structures allow to decompose probabilities and allow to pin down behavior…
Decision theories offer principled methods for making choices under various types of uncertainty. Algorithms that implement these theories have been successfully applied to a wide range of real-world problems, including materials and drug…
The time series theory is set in this work under the domain of general elliptically contoured distributions. The advent of a time series approach that is in accordance with the expected reality of dependence between errors, transfers the…
Agents' learning from feedback shapes economic outcomes, and many economic decision-makers today employ learning algorithms to make consequential choices. This note shows that a widely used learning algorithm, $\varepsilon$-Greedy, exhibits…
Experiments on decision making under uncertainty are known to display a classical pattern of risk aversion and risk seeking referred to as "fourfold pattern" (or "reflection effect") , but recent experiments varying the speed and order of…
We provide sufficient conditions under which a utility function may be recovered from a finite choice experiment. Identification, as is commonly understood in decision theory, is not enough. We provide a general recoverability result that…
This paper studies a new and more general axiomatization than one presented previously for preference on likelihood gambles. Likelihood gambles describe actions in a situation where a decision maker knows multiple probabilistic models and 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…
This work contains the mathematical exploration of a few prototypical games in which central concepts from statistics and probability theory naturally emerge. The first two kinds of games are termed Fisher and Bayesian games, which are…
We obtain an elementary characterization of expected utility based on a representation of choice in terms of psychological gambles, which requires no assumption other than coherence between ex-ante and ex-post preferences. Weaker version of…
We provide sufficient conditions for semi-nonparametric point identification of a mixture model of decision making under risk, when agents make choices in multiple lines of insurance coverage (contexts) by purchasing a bundle. As a first…
Gilboa and Schmeidler's (1989) uncertainty aversion plays a central role in decision theory and economics, yet many inconsistent behaviors have been observed in experiments. Motivated by this, we study an axiom postulating a minimal degree…
It is a long-standing objective to ease the computation burden incurred by the decision making process. Identification of this mechanism's sensitivity to simplification has tremendous ramifications. Yet, algorithms for decision making under…
It is well known that the minimal superhedging price of a contingent claim is too high for practical use. In a continuous-time model uncertainty framework, we consider a relaxed hedging criterion based on acceptable shortfall risks.…
We study preferences estimated from finite choice experiments and provide sufficient conditions for convergence to a unique underlying "true" preference. Our conditions are weak, and therefore valid in a wide range of economic environments.…
We consider the problem of option hedging in a market with proportional transaction costs. Since super-replication is very costly in such markets, we replace perfect hedging with an expected loss constraint. Asymptotic analysis for small…
The random utility model, a cornerstone in economics, is axiomatized by Falmagne (1978) and McFadden and Richter (1990) with the assumption that if a menu is observable, the choice frequencies of all alternatives are also observable.…