Related papers: Risk Preferences in Time Lotteries
This paper considers the problem of consumption and investment in a financial market within a continuous time stochastic economy. The investor exhibits a change in the discount rate. The investment opportunities are a stock and a riskless…
Large Language Models (LLMs) are increasingly used in decision-making scenarios that involve risk assessment, yet their alignment with human economic rationality remains unclear. In this study, we investigate whether LLMs exhibit risk…
In this paper we study a robust expected utility maximization problem with random endowment in discrete time. We give conditions under which an optimal strategy exists and derive a dual representation for the optimal utility. Our approach…
Strategic decision-making in uncertain and adversarial environments is crucial for the security of modern systems and infrastructures. A salient feature of many optimal decision-making policies is a level of unpredictability, or randomness,…
This paper studies stability of the exponential utility maximization when there are small variations on agent's utility function. Two settings are considered. First, in a general semimartingale model where random endowments are present, a…
We propose and study an evolutionary minority game (EMG) in which the agents are allowed to choose among three possible options. Unlike the original EMG where the agents either win or lose one unit of wealth, the present model assigns one…
Different models to study the wealth distribution in an artificial society have considered a transactional dynamics as the driving force. Those models include a risk aversion factor, but also a finite probability of favoring the poorer…
We consider assortment optimization over a continuous spectrum of products represented by the unit interval, where the seller's problem consists of determining the optimal subset of products to offer to potential customers. To describe the…
This paper examines optimal risk sharing for empirically realistic risk attitudes, providing results on Pareto optimality, competitive equilibria, utility frontiers, and the first and second theorems of welfare. Contrary to common…
We perform a stability analysis for the utility maximization problem in a general semimartingale model where both liquid and illiquid assets (random endowments) are present. Small misspecifications of preferences (as modeled via expected…
LLMs are increasingly used to make or support high-stakes decisions under uncertainty, where alignment depends not only on factual accuracy but on how models weigh tradeoffs between different outcomes. We present an empirical pipeline for…
This work theoretically studies a ubiquitous reinforcement learning policy for controlling the canonical model of continuous-time stochastic linear-quadratic systems. We show that randomized certainty equivalent policy addresses the…
The assignment problem is one of the most well-studied settings in social choice, matching, and discrete allocation. We consider the problem with the additional feature that agents' preferences involve uncertainty. The setting with…
Addressing the question of how to achieve optimal decision-making under risk and uncertainty is crucial for enhancing the capabilities of artificial agents that collaborate with or support humans. In this work, we address this question in…
We study procurement design when the buyer is uncertain about both the value of the good and the seller's cost. The buyer has a conjectured model but does not fully trust it. She first identifies mechanisms that maximize her worst-case…
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…
One way to make decisions under uncertainty is to select an optimal option from a possible range of options, by maximizing the expected utilities derived from a probability model. However, under severe uncertainty, identifying precise…
We study a problem of optimal allocation in a discrete-time multi-period pure-exchange economy, where agents have preferences over stochastic endowment processes that are represented by strongly time-consistent dynamic risk measures. We…
We study a continuous-time expected utility maximization problem in which the investor at maturity receives the value of a contingent claim in addition to the investment payoff from the financial market. The investor knows nothing about the…
We consider a game-theoretic model where individuals compete over a shared failure-prone system or resource. We investigate the effectiveness of a taxation mechanism in controlling the utilization of the resource at the Nash equilibrium…