Related papers: Remarks on Utility in Repeated Bets
In allocating objects via lotteries, it is common to consider ordinal rules that rely solely on how agents rank degenerate lotteries. While ordinality is often imposed due to cognitive or informational constraints, we provide another…
We compare the Egalitarian Equivalent and the Competitive Equilibrium with Equal Incomes rules to divide a bundle of goods (heirlooms) or a bundle of bads (chores). For goods the Competitive division fares better, as it is Resource…
We give an elementary proof of a monotone selection principle which allows to pass from increasing nets to increasing sequences in the Hermitian part of a $\sigma$-finite von Neumann algebra. This is to be seen as a ``monotone version'' of…
We establish fundamental connections between utility theories of wealth from the economic sciences and information-theoretic quantities. In particular, we introduce operational tasks based on betting where both gambler and bookmaker have…
It is shown that there are infinitely many formulas to calculate multiplicities of weights participating in irreducible representations of $A_N$ Lie algebras. On contrary to recursive character of Kostant and Freudenthal multiplicity…
In a market with stochastic investment opportunities, we study an optimal consumption investment problem for an agent with recursive utility of Epstein-Zin type. Focusing on the empirically relevant specification where both risk aversion…
We consider the egalitarian welfare aspects of random assignment mechanisms when agents have unrestricted cardinal utilities over the objects. We give bounds on how well different random assignment mechanisms approximate the optimal…
We adress the maximization problem of expected utility from terminal wealth. The special feature of this paper is that we consider a financial market where the price process of risky assets can have a default time. Using dynamic…
In the context of aggregating von Neumann-Morgenstern utilities, we show that bounded violations of the Pareto conditions characterize aggregation rules that are approximately utilitarian. When a single utility function is intended to…
The random utility model (RUM, McFadden and Richter, 1990) has been the standard tool to describe the behavior of a population of decision makers. RUM assumes that decision makers behave as if they maximize a rational preference over a…
The paper reviews some axioms of additivity concerning ranking methods used for generalized tournaments with possible missing values and multiple comparisons. It is shown that one of the most natural properties, called consistency, has…
This memoir presents a systematic study of the utility maximization problem of an investor in a constrained and unbounded financial market. Building upon the work of Hu et al. (2005) [Ann. Appl. Probab., 15, 1691--1712] in a bounded…
We consider two sided matching markets consisting of agents with non-transferable utilities; agents from the opposite sides form matching pairs (e.g., buyers-sellers) and negotiate the terms of their math which may include a monetary…
We give a general formulation of the utility maximization problem under nondominated model uncertainty in discrete time and show that an optimal portfolio exists for any utility function that is bounded from above. In the unbounded case,…
I study the problem of allocating objects among agents without using money. Agents can receive several objects and have dichotomous preferences, meaning that they either consider objects to be acceptable or not. In this setup, the…
When utilities are additive, we uncovered in our previous paper (Bogomolnaia et al. "Dividing Goods or Bads under Additive Utilities") many similarities but also surprising differences in the behavior of the familiar Competitive rule (with…
We study the utilitarian distortion of social choice mechanisms under the recently proposed learning-augmented framework where some (possibly unreliable) predicted information about the preferences of the agents is given as input. In…
We consider a single-period portfolio selection problem for an investor, maximizing the expected ratio of the portfolio utility and the utility of a best asset taken in hindsight. The decision rules are based on the history of stock returns…
Rewards typically express desirabilities or preferences over a set of alternatives. Here we propose that rewards can be defined for any probability distribution based on three desiderata, namely that rewards should be real-valued, additive…
We study the task of electing egalitarian sequences of $\tau$ committees given a set of agents with additive utilities for candidates available on each of $\tau$ levels. We introduce several rules for electing an egalitarian committee…