Related papers: Remarks on Utility in Repeated Bets

For simultaneous independent events with finitely many outcomes, consider the expected-utility problem with nonnegative wagers and an endogenous cash position. We prove a short support theorem for a broad class of strictly increasing…

A model for decision making that generalizes Expected Utility Maximization is presented. This model, Expected Qualitative Utility Maximization, encompasses the Maximin criterion. It relaxes both the Independence and the Continuity…

We give explicit solutions for utility maximization of terminal wealth problem $u(X_T)$ in the presence of Knightian uncertainty in continuous time $[0,T]$ in a complete market. We assume there is uncertainty on both drift and volatility of…

Diversification represents the idea of choosing variety over uniformity. Within the theory of choice, desirability of diversification is axiomatized as preference for a convex combination of choices that are equivalently ranked. This…

The aim of this paper is to propose a generalization of previous approaches in qualitative decision making. Our work is based on the binary possibilistic utility (PU), which is a possibilistic counterpart of Expected Utility (EU).We first…

We study the dual formulation of the utility maximization problem in incomplete markets when the utility function is finitely valued on the whole real line. We extend the existing results in this literature in two directions. First, we…

We study how individuals trade off outcome ("what") and process ("how") utility in high-stakes strategic decisions, namely professional tennis. Using optimality conditions and the second-service rule, we derive a sufficient condition for…

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…

In random expected utility (Gul and Pesendorfer, 2006), the distribution of preferences is uniquely recoverable from random choice. This paper shows through two examples that such uniqueness fails in general if risk preferences are random…

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…

Recent literature in the last Maximum Entropy workshop introduced an analogy between cumulative probability distributions and normalized utility functions. Based on this analogy, a utility density function can de defined as the derivative…

The consideration of nonstandard models of the real numbers and the definition of a qualitative ordering on those models provides a generalization of the principle of maximization of expected utility. It enables the decider to assign…

This paper considers utility indifference valuation of derivatives under model uncertainty and trading constraints, where the utility is formulated as an additive stochastic differential utility of both intertemporal consumption and…

The addition relation for the Riemann theta functions and for its limits, which lead to the appearance of exponential functions in soliton type equations is discussed. The presented form of addition property resolves itself to the…

The desirable gambles framework provides a rigorous foundation for imprecise probability theory but relies heavily on linear utility via its coherence axioms. In our related work, we introduced function-coherent gambles to accommodate…

We consider object allocation problems with capacities (see, e.g., Abdulkadiroglu and Sonmez, 1998; Basteck, 2025) where objects have to be assigned to agents. We show that if a lottery rule satisfies ex-post non-wastefulness and…

Addressing the question of how to achieve optimal decision-making under risk and uncertainty is crucial for enhancing the capabilities of artificial agents that collaborate with or support humans. In this work, we address this question in…

We present a necessary and sufficient condition for Alt's system to be represented by a continuous utility function. Moreover, we present a necessary and sufficient condition for this utility function to be concave. The latter condition can…

Budget aggregation is a process in which citizens vote by declaring their individual ideal budget allocation, and a pre-determined rule aggregates all votes into a single outcome. Recent theoretical work has proposed various aggregation…

We study payoff manipulation in repeated multi-objective Stackelberg games, where a leader may strategically influence a follower's deterministic best response, e.g., by offering a share of their own payoff. We assume that the follower's…