Related papers: Remarks on Utility in Repeated Bets

Decision theory has become widely accepted in the AI community as a useful framework for planning and decision making. Applying the framework typically requires elicitation of some form of probability and utility information. While much…

In mechanical design, there is often unavoidable uncertainty in estimates of design performance. Evaluation of design alternatives requires consideration of the impact of this uncertainty. Expert heuristics embody assumptions regarding the…

Motivated by cost of computation in game theory, we explore how changing the utilities of players (changing their complexity costs) affects the outcome of a game. We show that even if we improve a player's utility in every action profile,…

This paper introduces conceptual relations that synthesize utilitarian and logical concepts, extending the logics of preference of Rescher. We define first, in the context of a possible worlds model, constraint-dependent measures that…

We consider the robust utility maximization using a static holding in derivatives and a dynamic holding in the stock. There is no fixed model for the price of the stock but we consider a set of probability measures (models) which are not…

A utility function has been proposed that values more those lives that are saved by not imposing a harmful treatment and values less those lives that could be saved by treating people who would otherwise die. I do not dispute the ethical…

This paper presents duality between probability distributions and utility functions.

This paper builds a rule for decisionmaking from the physical behavior of single neurons, the well established neural circuitry of mutual inhibition, and the evolutionary principle of natural selection. No axioms are used in the derivation…

We consider the robust exponential utility maximization problem in discrete time: An investor maximizes the worst case expected exponential utility with respect to a family of nondominated probabilistic models of her endowment by…

Coalitional games serve the purpose of modeling payoff distribution problems in scenarios where agents can collaborate by forming coalitions in order to obtain higher worths than by acting in isolation. In the classical Transferable Utility…

We consider a sequence of repeated interactions between an agent and an environment. Uncertainty about the environment is captured by a probability distribution over a space of hypotheses, which includes all computable functions. Given a…

Budget aggregation deals with the social choice problem of distributing an exogenously given budget among a set of public projects, given agents' preferences. Taking a game-theoretic perspective, we study budget-aggregation games where each…

In this note, we study the utility maximization problem on the terminal wealth under proportional transaction costs and bounded random endowment. In particular, we restrict ourselves to the num\'eraire-based model and work with utility…

An important but understudied question in economics is how people choose when facing uncertainty in the timing of events. Here we study preferences over time lotteries, in which the payment amount is certain but the payment time is…

We study the utility maximization problem for power utility random fields in a semimartingale financial market, with and without intermediate consumption. The notion of an opportunity process is introduced as a reduced form of the value…

We study the convex duality method for robust utility maximization in the presence of a random endowment. When the underlying price process is a locally bounded semimartingale, we show that the fundamental duality relation holds true for a…

When it comes to structural estimation of risk preferences from data on choices, random utility models have long been one of the standard research tools in economics. A recent literature has challenged these models, pointing out some…

This paper studies relations among axioms on individuals' intertemporal choices under risk. The focus is on Risk Averse over Time Lotteries (RATL), meaning that a fixed prize is preferred to a lottery with the same monetary prize but a…

News utility is the idea that the utility of an agent depends on changes in her beliefs over consumption and money. We introduce news utility into otherwise classical static Bayesian mechanism design models. We show that a key role is…

This paper analyzes the strategic interactions between a profit-maximizing monopolist and a free, capacity-constrained public option. By restricting its own supply, the monopolist intentionally congests the public option and induces…