Related papers: Risk and Intertemporal Preferences over Time Lotte…
In the context of understanding the nature of the risk transformation process of the financial system we propose an iterative risk-trading game between several agents who build their trading strategies based on a general utility setting.…
The likelihood ratio test (LRT) is widely used for comparing the relative fit of nested latent variable models. Following Wilks' theorem, the LRT is conducted by comparing the LRT statistic with its asymptotic distribution under the…
We derive robust predictions in games involving flexible information acquisition, also known as rational inattention (Sims 2003). These predictions remain accurate regardless of the specific methods players employ to gather information.…
The dominant theories of rational choice assume logical omniscience. That is, they assume that when facing a decision problem, an agent can perform all relevant computations and determine the truth value of all relevant logical/mathematical…
Hybrid randomized controlled trials (hybrid RCTs) integrate external control data, such as historical or concurrent data, with data from randomized trials. While numerous frequentist and Bayesian methods, such as the test-then-pool and…
For optimal stopping problems with time-inconsistent preference, we measure the inherent level of time-inconsistency by taking the time needed to turn the naive strategies into the sophisticated ones. In particular, when in a repeated…
Randomized mechanisms, which map a set of bids to a probability distribution over outcomes rather than a single outcome, are an important but ill-understood area of computational mechanism design. We investigate the role of randomized…
Subjective expected utility theory assumes that decision-makers possess unlimited computational resources to reason about their choices; however, virtually all decisions in everyday life are made under resource constraints - i.e.…
We study the problem of assigning indivisible objects to agents where each is to receive at most one. To ensure fairness in the absence of monetary compensation, we consider random assignments. Random Priority, also known as Random Serial…
Diversification represents the idea of choosing variety over uniformity. Within the theory of choice, desirability of diversification is axiomatized as preference for a convex combination of choices that are equivalently ranked. This…
Bandit algorithms are guaranteed to solve diverse sequential decision-making problems, provided that a sufficient exploration budget is available. However, learning from scratch is often too costly for personalization tasks where a single…
We characterize decreasing impatience, a common behavioral phenomenon in intertemporal choice. Discount factors that display decreasing impatience are characterized through a convexit y axiom for investments at fixed interest rates. Then we…
The classic Reinforcement Learning (RL) formulation concerns the maximization of a scalar reward function. More recently, convex RL has been introduced to extend the RL formulation to all the objectives that are convex functions of the…
We study the tradeoff between fundamental risk and time. A time-constrained agent has to solve a problem. She dynamically allocates effort between implementing a risky initial idea and exploring alternatives. Discovering an alternative…
Recent work has addressed using formulas in linear temporal logic (LTL) as specifications for agents planning in Markov Decision Processes (MDPs). We consider the inverse problem: inferring an LTL specification from demonstrated behavior…
Interactive reinforcement learning (IRL) has shown promise in enabling autonomous agents and robots to learn complex behaviours from human teachers, yet the dynamics of teacher selection remain poorly understood. This paper reveals an…
For the past two decades investors have observed long memory and highly correlated behavior of asset classes that does not fit into the framework of Modern Portfolio Theory. Custom correlation and standard deviation estimators consider…
Patients with breast cancer tend to die from other diseases, so for studies that focus on breast cancer, a competing risks model is more appropriate. Considering subdistribution hazard ratio, which is used often, limited to model…
We confirm universal behaviors such as eigenvalue distribution and spacings predicted by Random Matrix Theory (RMT) for the cross correlation matrix of the daily stock prices of Tokyo Stock Exchange from 1993 to 2001, which have been…
We present a hierarchical framework for analysing propositional linear-time temporal logic (PTL) to obtain standard results such as a small model property, decision procedures and axiomatic completeness. Both finite time and infinite time…