Related papers: Random Utility with Unobservable Alternatives

We consider a model for decision making based on an adaptive, k-period, learning process where the priors are selected according to Von Neumann-Morgenstern expected utility principle. A preference relation between two prospects is…

This article expands Milton Friedman's spending matrix to analyse 'spending efficiency' and 'preference compatibility' across different economic systems against five key outcome criteria. By generalising Friedman's typology, it compares…

This paper establishes a general equivalence between discrete choice and rational inattention models. Matejka and McKay (2015, AER) showed that when information costs are modelled using the Shannon entropy function, the resulting choice…

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.…

We characterize those ex-ante restrictions on the random utility model which lead to identification. We first identify a simple class of perturbations which transfer mass from a suitable pair of preferences to the pair formed by swapping…

We obtain a necessary and sufficient condition under which random-coefficient discrete choice models, such as mixed-logit models, are rich enough to approximate any nonparametric random utility models arbitrarily well across choice sets.…

One of quantum theory's salient features is its apparent indeterminism, i.e. measurement outcomes are typically probabilistic. We formally define and address whether this uncertainty is unavoidable or whether post-quantum theories can offer…

We readdress the problem of nonparametric statistical testing of random utility models proposed in Kitamura and Stoye (2018). Although their test is elegant, it is subject to computational constraints which leaves execution of the test…

We study three axioms in the model of constrained social choice under uncertainty where (i) agents have subjective expected utility preferences over acts and (ii) different states of nature have (possibly) different sets of available…

This paper uncovers tight bounds on the number of preferences permissible in identified random utility models. We show that as the number of alternatives in a discrete choice model becomes large, the fraction of preferences admissible in an…

This paper introduces the RUMBoost model, a novel discrete choice modelling approach that combines the interpretability and behavioural robustness of Random Utility Models (RUMs) with the generalisation and predictive ability of deep…

We revisit Machina's local utility as a tool to analyze attitudes to multivariate risks. We show that for non-expected utility maximizers choosing between multivariate prospects, aversion to multivariate mean preserving increases in risk is…

Consider an agent taking two successive decisions to maximize his expected utility under uncertainty. After his first decision, a signal is revealed that provides information about the state of nature. The observation of the signal allows…

In this paper, we consider the revealed preferences problem from a learning perspective. Every day, a price vector and a budget is drawn from an unknown distribution, and a rational agent buys his most preferred bundle according to some…

We analyse a preferential urn model with randomness using the replica method. The preferential urn model is a stochastic model based on the concept "the rich get richer." The replica analysis clarifies that the preferential urn model with…

Let $\succsim$ be a binary relation on the set of simple lotteries over a countable outcome set $Z$. We provide necessary and sufficient conditions on $\succsim$ to guarantee the existence of a set $U$ of von Neumann--Morgenstern utility…

There have been controversies among statisticians on (i) what to model and (ii) how to make inferences from models with unobservables. One such controversy concerns the difference between estimation methods for the marginal means not…

With the aid of simple analytical computations for the Ehrenfest model, we clarify some basic features of macroscopic irreversibility. The stochastic character of the model allows us to give a non-ambiguous interpretation of the general…

An important goal of empirical demand analysis is choice and welfare prediction on counterfactual budget sets arising from potential policy-interventions. Such predictions are more credible when made without arbitrary…

We offer a rationalization of the weak generalized axiom of revealed preference (WGARP) for both finite and infinite data sets of consumer choice. We call it maximin rationalization, in which each pairwise choice is associated with a…