Related papers: Nonlinear desirability theory
Noncooperative games with uncertain payoffs have been classically studied under the expected-utility theory framework, which relies on the strong assumption that agents behave rationally. However, simple experiments on human decision makers…
The choice of admissible trading strategies in mathematical modelling of financial markets is a delicate issue, going back to Harrison and Kreps (1979). In the context of optimal portfolio selection with expected utility preferences this…
Exchangeability is a central notion in statistics and probability theory. The assumption that an infinite sequence of data points is exchangeable is at the core of Bayesian statistics. However, finite exchangeability as a statistical…
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…
We propose a simple yet effective solution to tackle the often-competing goals of fairness and utility in classification tasks. While fairness ensures that the model's predictions are unbiased and do not discriminate against any particular…
Motivated by several classic decision-theoretic paradoxes, and by analogies with the paradoxes which in physics motivated the development of quantum mechanics, we introduce a projective generalization of expected utility along the lines of…
Shafer's theory of belief and the Bayesian theory of probability are two alternative and mutually inconsistent approaches toward modelling uncertainty in artificial intelligence. To help reduce the conflict between these two approaches,…
We present a necessary and sufficient condition for Alt's system to be represented by a continuous utility function. Moreover, we present a necessary and sufficient condition for this utility function to be concave. The latter condition can…
Since Leonard Savage's epoch-making "Foundations of Statistics", Subjective Expected Utility Theory has been the presumptive model for decision-making. Savage provided an act-based axiomatization of standard expected utility theory. In this…
We consider social welfare functions when the preferences of individual agents and society maximize subjective expected utility in the tradition of Savage. A system of axioms is introduced whose unique solution is the social welfare…
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…
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…
Gambles are random variables that model possible changes in monetary wealth. Classic decision theory transforms money into utility through a utility function and defines the value of a gamble as the expectation value of utility changes.…
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…
We propose a game-theoretic framework that incorporates both incomplete information and general ambiguity attitudes on factors external to all players. Our starting point is players' preferences on payoff-distribution vectors, essentially…
Expected utility theory (EUT) is widely used in economic theory. However, its subjective probability formulation, first elaborated by Savage, is linked to Ellsberg-like paradoxes and ambiguity aversion. This has led various scholars to work…
This work considers reasons for and implications of discarding the assumption of transitivity, which (transitivity) is the fundamental postulate in the utility theory of Von Neumann and Morgenstern, the adiabatic accessibility principle of…
Although expected utility theory has proven a fruitful and elegant theory in the finite realm, attempts to generalize it to infinite values have resulted in many paradoxes. In this paper, we argue that the use of John Conway's surreal…
We propose a new measure of deviations from expected utility theory. For any positive number~$e$, we give a characterization of the datasets with a rationalization that is within~$e$ (in beliefs, utility, or perceived prices) of expected…
We study intertemporal decision making under uncertainty. We fully characterize discounted expected utility in a framework \`a la Savage. Despite the popularity of this model, no characterization is available in this setting. The concept of…