Related papers: Remarks on Utility in Repeated Bets
Multicriteria decision analysis aims at supporting a person facing a decision problem involving conflicting criteria. We consider an additive utility model which provides robust conclusions based on preferences elicited from the decision…
We study auctions whose bidders are embedded in a social or economic network. As a result, even bidders who do not win the auction themselves might derive utility from the auction, namely, when a friend wins. On the other hand, when an…
We demonstrate that a ubiquitous feature of network games, bilateral strategic interactions, is equivalent to having player utilities that are additively separable across opponents. We distinguish two formal notions of bilateral strategic…
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 pursue an inverse approach to utility theory and consumption & investment problems. Instead of specifying an agent's utility function and deriving her actions, we assume we observe her actions (i.e. her consumption and investment…
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.…
In this paper we study a robust utility maximization problem in continuous time under model uncertainty. The model uncertainty is governed by a continuous semimartingale with uncertain local characteristics. Here, the differential…
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…
We study implementation of a social choice correspondence in the case of two players who have von Neumann - Morgenstern utilities over a finite set of social alternatives, and the mechanism is allowed to output lotteries. Our main positive…
It has been proposed in medical decision analysis to express the ``first do no harm'' principle as an asymmetric utility function in which the loss from killing a patient would count more than the gain from saving a life. Such a utility…
This paper formulates a model of utility for a continuous time framework that captures the decision-maker's concern with ambiguity about both the drift and volatility of the driving process. At a technical level, the analysis requires a…
This survey reviews recent developments in revealed preference theory. It discusses the testable implications of theories of choice that are germane to specific economic environments. The focus is on expected utility in risky environments;…
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…
In the present article we use the quantum formalism to describe the effects of risk and ambiguity in decision theory. The main idea is that the probabilities in the classic theory of expected utility are estimated probabilities, and thus do…
In this paper, we study the problem of expected utility maximization of an agent who, in addition to an initial capital, receives random endowments at maturity. Contrary to previous studies, we treat as the variables of the optimization…
The standard way to evaluate language models on subjective tasks is through pairwise comparisons: an annotator chooses the "better" of two responses to a prompt. Leaderboards aggregate these comparisons into a single Bradley-Terry (BT)…
We study arbitrage opportunities, market viability and utility maximization in market models with an insider. Assuming that an economic agent possesses from the beginning an additional information in the form of a random variable G, which…
We introduce a new interpretation of two related notions - conditional utility and utility independence. Unlike the traditional interpretation, the new interpretation renders the notions the direct analogues of their probabilistic…
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…
Random utility theory models an agent's preferences on alternatives by drawing a real-valued score on each alternative (typically independently) from a parameterized distribution, and then ranking the alternatives according to scores. A…