Related papers: Risk Preferences in Time Lotteries
We give explicit solutions for utility maximization of terminal wealth problem $u(X_T)$ in the presence of Knightian uncertainty in continuous time $[0,T]$ in a complete market. We assume there is uncertainty on both drift and volatility of…
We study the impact of learning on the optimal policy and the time-to-decision in an infinite-horizon Bayesian sequential decision model with two irreversible alternatives, exit and expansion. In our model, a firm undertakes a small-scale…
This paper investigates a time-inconsistent portfolio selection problem in the incomplete mar ket model, integrating expected utility maximization with risk control. The objective functional balances the expected utility and variance on log…
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…
Attitudes toward risk underlie virtually every important economic decision an individual makes. In this experimental study, I examine how introducing a time delay into the execution of an investment plan influences individuals' risk…
How should well-being be prioritised in society, and what trade-offs are people willing to make between fairness and personal well-being? We investigate these questions using a stated preference experiment with a nationally representative…
Our goal is to build robust optimization problems for making decisions based on complex data from the past. In robust optimization (RO) generally, the goal is to create a policy for decision-making that is robust to our uncertainty about…
Two prominent objectives in social choice are utilitarian - maximizing the sum of agents' utilities, and leximin - maximizing the smallest agent's utility, then the second-smallest, etc. Utilitarianism is typically computationally easier to…
Sequences of repeated gambles provide an experimental tool to characterize the risk preferences of humans or artificial decision-making agents. The difficulty of this inference depends on factors including the details of the gambles offered…
We discuss representing and reasoning with knowledge about the time-dependent utility of an agent's actions. Time-dependent utility plays a crucial role in the interaction between computation and action under bounded resources. We present a…
One of the most celebrated results in mechanism design is Myerson's characterization of the revenue optimal auction for selling a single item. However, this result relies heavily on the assumption that buyers are indifferent to risk. In…
Goods and services -- public housing, medical appointments, schools -- are often allocated to individuals who rank them similarly but differ in their preference intensities. We characterize optimal allocation rules when individual…
Voluntary insurance contracts constitute a puzzle because they increase the expectation value of one party's wealth, whereas both parties must sign for such contracts to exist. Classically, the puzzle is resolved by introducing non-linear…
We consider a setting where in a known future time, a certain continuous random variable will be realized. There is a public prediction that gradually converges to its realized value, and an expert that has access to a more accurate…
In financial applications, latency advantages -- the ability to make decisions later than others, even without the ability to see what others have done -- can provide individual participants with an edge by allowing them to gather…
In this paper we study a robust utility maximization problem in continuous time under model uncertainty. The model uncertainty is governed by a continuous semimartingale with uncertain local characteristics. Here, the differential…
The timing of strategic exit is one of the most important but difficult business decisions, especially under competition and uncertainty. Motivated by this problem, we examine a stochastic game of exit in which players are uncertain about…
An important question in economics is how people choose between different payments in the future. The classical normative model predicts that a decision maker discounts a later payment relative to an earlier one by an exponential function…
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.…
Agents that learn to select optimal actions represent a prominent focus of the sequential decision-making literature. In the face of a complex environment or constraints on time and resources, however, aiming to synthesize such an optimal…