Related papers: Random Utility with Unobservable Alternatives
A dynamic model of collective consumption and saving decisions made by a finite number of agents with constant but different discount rates is developed. Collective utility is a weighted sum of individual utilities with time-varying utility…
This paper develops and implements a nonparametric test of Random Utility Models. The motivating application is to test the null hypothesis that a sample of cross-sectional demand distributions was generated by a population of rational…
The expectation is an example of a descriptive statistic that is monotone with respect to stochastic dominance, and additive for sums of independent random variables. We provide a complete characterization of such statistics, and explore a…
Multinomial choice models are fundamental for empirical modeling of economic choices among discrete alternatives. We analyze identification of binary and multinomial choice models when the choice utilities are nonseparable in observed…
Reliability (survival analysis, to biostatisticians) is a key ingredient for mak- ing decisions that mitigate the risk of failure. The other key ingredient is utility. A decision theoretic framework harnesses the two, but to invoke this…
The classical Merton investment problem predicts deterministic, state-dependent portfolio rules; however, laboratory and field evidence suggests that individuals often prefer randomized decisions leading to stochastic and noisy choices.…
We introduce an Attention Overload Model that captures the idea that alternatives compete for the decision maker's attention, and hence the attention that each alternative receives decreases as the choice problem becomes larger. Using this…
This paper investigates the random utility representation of best-worst choice probabilities (picking the best and the worst alternative from an offered set). Doignon (2023) presented a complete characterization of the best-worst-choice…
Decision theory does not traditionally include uncertainty over utility functions. We argue that the a person's utility value for a given outcome can be treated as we treat other domain attributes: as a random variable with a density…
We extend well-known comparative results under expected utility to models of non-expected utility by providing novel conditions on local utility functions. We illustrate how our results parallel, and are distinct from, existing results for…
Determining consumer preferences and utility is a foundational challenge in economics. They are central in determining consumer behaviour through the utility-maximising consumer decision-making process. However, preferences and utilities…
Given only aggregate choice data and limited information about how menus are distributed across the population, we describe what can be inferred robustly about the distribution of preferences (or more general decision rules). We strengthen…
The problem of robust utility maximization in an incomplete market with volatility uncertainty is considered, in the sense that the volatility of the market is only assumed to lie between two given bounds. The set of all possible models…
In economics, risk aversion is modeled via a concave Bernoulli utility within the expected-utility paradigm. We propose a simple test of expected utility and concavity. We find little support for either: only 30 percent of the choices are…
Stability of the utility maximization problem with random endowment and indifference prices is studied for a sequence of financial markets in an incomplete Brownian setting. Our novelty lies in the nonequivalence of markets, in which the…
Empirical welfare analyses often impose stringent parametric assumptions on individuals' preferences and neglect unobserved preference heterogeneity. We develop a framework to conduct individual and social welfare analysis for discrete…
This study proposes a tractable stochastic choice model to identify motivations for prosocial behavior, and to explore alternative motivations of deliberate randomization beyond ex-ante fairness concerns. To represent social preferences, we…
In the large financial market, which is described by a model with countably many traded assets, we formulate the problem of the expected utility maximization. Assuming that the preferences of an economic agent are modeled with a stochastic…
An experimenter seeks to learn a subject's preference relation. The experimenter produces pairs of alternatives. For each pair, the subject is asked to choose. We argue that, in general, large but finite data do not give close…
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…