Related papers: Recovering utility
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 appear in imprecise-probabilistic decision…
In a recent paper \cite{Redei-Jing2026} the notion of conditional $p$-inaccessibility of a decision based on utility maximization was defined and examples of conditionally $p$-inaccessible decisions were given. The conditional…
The von Neumann-Morgenstern (VNM) utility theorem shows that under certain axioms of rationality, decision-making is reduced to maximizing the expectation of some utility function. We extend these axioms to increasingly structured…
We investigate the application of classification techniques to utility elicitation. In a decision problem, two sets of parameters must generally be elicited: the probabilities and the utilities. While the prior and conditional probabilities…
Dynamic decisions are pivotal to economic policy making. We show how existing evidence from randomized control trials can be utilized to guide personalized decisions in challenging dynamic environments with budget and capacity constraints.…
We derive axiomatically the probability function that should be used to make decisions given any form of underlying uncertainty.
Monotonicity and recursivity are central assumptions in intertemporal consumption problems under ambiguity. We show that monotone recursive preferences admit both a recursive and an ex-ante representation, and that the certainty equivalent…
Towards the realization of a sustainable, fair and inclusive society, we proposed a novel decision-making model that incorporates social norms in a rational choice model from the standpoints of deontology and utilitarianism. We proposed a…
We consider a problem of optimal investment with intermediate consumption and random endowment in an incomplete semimartingale model of a financial market. We establish the key assertions of the utility maximization theory assuming that…
The last decade witnessed an explosion in the availability of data for operations research applications. Motivated by this growing availability, we propose a novel schema for utilizing data to design uncertainty sets for robust optimization…
The sum-utility maximization problem is known to be important in the energy systems literature. The conventional assumption to address this problem is that the utility is concave. But for some key applications, such an assumption is not…
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…
This paper investigates well posedness of utility maximization problems for financial markets where stock returns depend on a hidden Gaussian mean reverting drift process. Since that process is potentially unbounded, well posedness cannot…
In cases of uncertainty, a multi-class classifier preferably returns a set of candidate classes instead of predicting a single class label with little guarantee. More precisely, the classifier should strive for an optimal balance between…
Understanding and quantifying causal relationships between variables is essential for reasoning about the physical world. In this work, we develop a resource-theoretic framework to do so. Here, we focus on the simplest nontrivial setting --…
Decision theory has become widely accepted in the AI community as a useful framework for planning and decision making. Applying the framework typically requires elicitation of some form of probability and utility information. While much…
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,…
Choice overload - in which larger choice sets are detrimental to a chooser's well-being - is potentially of great importance in the design of economic policy. Yet the current evidence on its prevalence is inconclusive. We argue that…
We present a theory of expected utility with state-dependent linear utility functions for monetary returns, that incorporates the possibility of loss-aversion. Our results relate to first order stochastic dominance, mean-preserving spread,…
This paper investigates the problem of maximizing expected terminal utility in a (generically incomplete) discrete-time financial market model with finite time horizon. In contrast to the standard setting, a possibly non-concave utility…