Related papers: Remarks on Utility in Repeated Bets
In game theory and artificial intelligence, decision making models often involve maximizing expected utility, which does not respect ordinal invariance. In this paper, the author discusses the possibility of preserving ordinal invariance…
We define a notion of the criticality of a player for simple monotone games based on cooperation with other players, either to form a winning coalition or to break a winning one, with an essential role for all the players involved. We…
This paper examines a continuous time intertemporal consumption and portfolio choice problem with a stochastic differential utility preference of Epstein-Zin type for a robust investor, who worries about model misspecification and seeks…
The maximum entropy principle can be used to assign utility values when only partial information is available about the decision maker's preferences. In order to obtain such utility values it is necessary to establish an analogy between…
The desirable gambles framework provides a foundational approach to imprecise probability theory but relies heavily on linear utility assumptions. This paper introduces function-coherent gambles, a generalization that accommodates…
We consider a simple sequential allocation procedure for sharing indivisible items between agents in which agents take turns to pick items. Supposing additive utilities and independence between the agents, we show that the expected utility…
We study a continuous-time expected utility maximization problem in which the investor at maturity receives the value of a contingent claim in addition to the investment payoff from the financial market. The investor knows nothing about the…
Inferring a decision maker's utility function typically involves an elicitation phase where the decision maker responds to a series of elicitation queries, followed by an estimation phase where the state-of-the-art is to either fit the…
As the widely applied method for measuring matching assortativeness in a transferable utility matching game, a matching maximum score estimation is proposed by \cite{fox2010qe}. This article reveals that combining unmatched agents,…
Aberg has claimed in a recent Letter," Phys. Rev. Lett. 113, 150402 (2014)", that the coherence of a reservoir can be used repeatedly to perform coherent operations without ever diminishing in power to do so. The claim has particular…
Ergodicity describes an equivalence between the expectation value and the time average of observables. Applied to human behaviour, ergodic theories of decision-making reveal how individuals should tolerate risk in different environments. To…
We design two mechanisms that ensure that the majority preferred option wins in all equilibria. The first one is a simultaneous game where agents choose other agents to cooperate with on top of the vote for an alternative, thus overcoming…
We consider the problem of extending a function $f^{}_P$ defined on a subset $P$ of an arbitrary set $X$ to $X$ strictly monotonically with respect to a preorder $\succcurlyeq$ defined on $X$, without imposing continuity constraints. We…
Prompted by a recent experiment by Victor Haghani and Richard Dewey, this note generalises the Kelly strategy (optimal for simple investment games with log utility) to a large class of practical utility functions and including the effect of…
This paper concerns the recursive utility maximization problem. We assume that the coefficients of the wealth equation and the recursive utility are concave. Then some interesting and important cases with nonlinear and nonsmooth…
Lotteries are a prevalent form of gambling between a seller and buyers. Designing a lottery requires a model of how buyers make decisions when confronted with uncertain outcomes. Cumulative prospect theory (CPT) is a descriptive model that…
We study a routing game in which one of the players unilaterally acts altruistically by taking into consideration the latency cost of other players as well as his own. By not playing selfishly, a player can not only improve the other…
This paper studies the problem of maximizing the expected utility of terminal wealth for a financial agent with an unbounded random endowment, and with a utility function which supports both positive and negative wealth. We prove the…
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…
We propose a general approach to quantitatively assessing the risk and vulnerability of artificial intelligence (AI) systems to biased decisions. The guiding principle of the proposed approach is that any AI algorithm must outperform a…