Related papers: Recursive Preferences, Correlation Aversion, and t…
This paper characterizes the equilibrium in a continuous time financial market populated by heterogeneous agents who differ in their rate of relative risk aversion and face convex portfolio constraints. The model is studied in an…
Individuals use models to guide decisions, but many models are wrong. This paper studies which misspecified models are likely to persist when individuals also entertain alternative models. Consider an agent who uses her model to learn the…
Typical risk classification procedure in insurance is consists of a priori risk classification determined by observable risk characteristics, and a posteriori risk classification where the premium is adjusted to reflect the policyholder's…
We study hedging and pricing of unattainable contingent claims in a non-Markovian regime-switching financial model. Our financial market consists of a bank account and a risky asset whose dynamics are driven by a Brownian motion and a…
Response times contain information about economically relevant but unobserved variables like willingness to pay, preference intensity, quality, or happiness. We provide a general characterization of the properties of latent variables that…
Most work in mechanism design assumes that buyers are risk neutral; some considers risk aversion arising due to a non-linear utility for money. Yet behavioral studies have established that real agents exhibit risk attitudes which cannot be…
Price-based revenue management is an important problem in operations management with many practical applications. The problem considers a retailer who sells a product (or multiple products) over $T$ consecutive time periods and is subject…
We uncover a close link between outside options and risk attitude: when a decision-maker gains access to an outside option, her behaviour becomes less risk-averse, and conversely, any observed decrease of risk-aversion can be explained by…
We present the first calibration of quantum decision theory (QDT) to a dataset of binary risky choice. We quantitatively account for the fraction of choice reversals between two repetitions of the experiment, using a probabilistic choice…
Using theory and experiments, this paper shows that the difficulty of making tradeoffs offers a parsimonious explanation for a wide range of behavioral phenomena. We develop a model of imprecise comparisons applicable to multiattribute,…
We explore the effect of past market movements on the instantaneous correlations between assets within the futures market. Quantifying this effect is of interest to estimate and manage the risk associated to portfolios of futures in a…
Consumer protection rules require companies that deploy models to automate decisions in high-stakes settings to explain predictions to decision subjects. These rules are motivated, in part, by the belief that explanations can promote…
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…
We elicit incomplete preferences over monetary gambles with subjective uncertainty. Subjects rank gambles, and these rankings are used to estimate preferences; payments are based on estimated preferences. About 40\% of subjects express…
Modeling user sequential behaviors has recently attracted increasing attention in the recommendation domain. Existing methods mostly assume coherent preference in the same sequence. However, user personalities are volatile and easily…
In reinforcement learning from human feedback, preference-based reward models play a central role in aligning large language models to human-aligned behavior. However, recent studies show that these models are prone to reward hacking 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…
In this paper, I introduce a random attention span model (RAS) which uses stopping time to identify decision-makers' behavior under limited attention. Unlike many limited attention models, the RAS identifies preferences using time variation…
Many biological, psychological and economic experiments have been designed where an organism or individual must choose between two options that have the same expected reward but differ in the variance of reward received. In this way,…
A reciprocal recommendation problem is one where the goal of learning is not just to predict a user's preference towards a passive item (e.g., a book), but to recommend the targeted user on one side another user from the other side such…