Related papers: Remarks on Utility in Repeated Bets
A reformulation of the Kelly Criterion is presented. Let $\mathfrak{G}$ be a generic stochastic Bernoulli binary game with outcomes $\mathscr{Z}(I)\in\lbrace -1,1\rbrace$ of N trials for $I=1...N$. The binomial probabilities are…
In this paper we present a duality theory for the robust utility maximisation problem in continuous time for utility functions defined on the positive real axis. Our results are inspired by -- and can be seen as the robust analogues of --…
We propose an efficient algorithm for estimation of possibility based qualitative expected utility. It is useful for decision making mechanisms where each possible decision is assigned a multi-attribute possibility distribution. The…
In this paper we study the problem of maximizing expected utility from the terminal wealth with proportional transaction costs and random endowment. In the context of the existence of consistent price systems, we consider the duality…
This paper proposes two approaches that quantify the exact relationship among the viability, the absence of arbitrage, and/or the existence of the num\'eraire portfolio under minimal assumptions and for general continuous-time market…
We show that, in a resource allocation problem, the ex ante aggregate utility of players with cumulative-prospect-theoretic preferences can be increased over deterministic allocations by implementing lotteries. We formulate an optimization…
Two fundamental axioms in social choice theory are consistency with respect to a variable electorate and consistency with respect to components of similar alternatives. In the context of traditional non-probabilistic social choice, these…
Many high-stakes AI deployments proceed only if every stakeholder deems the system acceptable relative to their own minimum standard. With randomization over a finite menu of options, this becomes a feasibility question: does there exist a…
Matching problems with linearly transferable utility (LTU) generalize the well-studied transferable utility (TU) case by relaxing the assumption that utility is transferred one-for-one within matched pairs. We show that LTU matching…
We consider a problem of optimal investment with intermediate consumption and random endowment in an incomplete semimartingale model of a financial market. We establish the key assertions of the utility maximization theory assuming that…
When allocating indivisible objects via lottery, planners often use ordinal mechanisms, which elicit agents' rankings of objects rather than their full preferences over lotteries. In such an ordinal informational environment, planners…
We consider a model where a subset of candidates must be selected based on voter preferences, subject to general constraints that specify which subsets are feasible. This model generalizes committee elections with diversity constraints,…
Modern portfolio theory(MPT) addresses the problem of determining the optimum allocation of investment resources among a set of candidate assets. In the original mean-variance approach of Markowitz, volatility is taken as a proxy for risk,…
We perform a stability analysis for the utility maximization problem in a general semimartingale model where both liquid and illiquid assets (random endowments) are present. Small misspecifications of preferences (as modeled via expected…
Dependence on the parameter is continuous when perturbations of the parameter preserves strict preference for one alternative over another. We characterise this property via a utility function over alternatives that depends continuously on…
Using results from neurobiology on perceptual decision making and value-based decision making, the problem of decision making between lotteries is reformulated in an abstract space where uncertain prospects are mapped to corresponding…
Optimal behavior in (competitive) situation is traditionally determined with the help of utility functions that measure the payoff of different actions. Given an ordering on the space of revenues (payoffs), the classical axiomatic approach…
McFadden's random-utility model of multinomial choice has long been the workhorse of applied research. We establish shape-restrictions under which multinomial choice-probability functions can be rationalized via random-utility models with…
We present a variation of the water puzzle, which is related to a simple model of marginal utility. The problem has an intriguing solution and can be extended in several directions.
Two prominent objectives in social choice are utilitarian - maximizing the sum of agents' utilities, and leximin - maximizing the smallest agent's utility, then the second-smallest, etc. Utilitarianism is typically computationally easier to…