Related papers: Remarks on Utility in Repeated Bets
The General Lotto game is a popular variant of the famous Colonel Blotto game, in which two opposing players allocate limited resources over many battlefields. In this paper, we consider incomplete and asymmetric information formulations…
For gambling on horses, a one-parameter family of utility functions is proposed, which contains Kelly's logarithmic criterion and the expected-return criterion as special cases. The strategies that maximize the utility function are derived,…
Nontransitive choices have long been an area of curiosity within economics. However, determining whether nontransitive choices represent an individual's preference is a difficult task since choice data is inherently stochastic. This paper…
We consider the psychological effect of preference reversal and show that it finds a natural explanation in the frame of quantum decision theory. When people choose between lotteries with non-negative payoffs, they prefer a more certain…
This paper describes a study of agent bidding strategies, assuming combinatorial valuations for complementary and substitutable goods, in three auction environments: sequential auctions, simultaneous auctions, and the Trading Agent…
This paper formulates a model of utility for a continuous time framework that captures the decision-maker's concern with ambiguity about both volatility and drift. Corresponding extensions of some basic results in asset pricing theory are…
Preferences for mixing can reveal ambiguity perception and attitude on a single event. The validity of the approach is discussed for multiple preference classes including maxmin, maxmax, variational, and smooth second-order preferences. An…
Richard Cox [1] set the axiomatic foundations of probable inference and the algebra of propositions. He showed that consistency within these axioms requires certain rules for updating belief. In this paper we use the analogy between…
Learning algorithms are often used to make decisions in sequential decision-making environments. In multi-agent settings, the decisions of each agent can affect the utilities/losses of the other agents. Therefore, if an agent is good at…
Reallocating resources to get mutually beneficial outcomes is a fundamental problem in various multi-agent settings. While finding an arbitrary Pareto optimal allocation is generally easy, checking whether a particular allocation is Pareto…
Traditional interpretations of probability, whether frequentist or subjective, make no reference to the concept of energy. In this paper, we propose that assigning hypothetical energy levels to the outcomes of a random variable can yield…
We treat utility maximization from terminal wealth for an agent with utility function $U:\mathbb{R}\to\mathbb{R}$ who dynamically invests in a continuous-time financial market and receives a possibly unbounded random endowment. We prove the…
There exists a preference relation on infinite utility streams that does not discriminate between different periods, satisfies the Pareto criterion, and so that almost all pairs of utility streams are strictly comparable. Such a preference…
In this article we demonstrate how algorithmic probability theory is applied to situations that involve uncertainty. When people are unsure of their model of reality, then the outcome they observe will cause them to update their beliefs. We…
We consider a repeated auction where the buyer's utility for an item depends on the time that elapsed since his last purchase. We present an algorithm to build the optimal bidding policy, and then, because optimal might be impractical, we…
The relationship of policy choice by majority voting and by maximization of utilitarian welfare has long been discussed. I consider choice between a status quo and a proposed policy when persons have interpersonally comparable cardinal…
We revisit the problem of portfolio selection, where an investor maximizes utility subject to a risk constraint. Our framework is very general and accommodates a wide range of utility and risk functionals, including non-concave utilities…
The long-standing unitary-actor assumption in strategy research -- treating firms as monolithic entities with coherent preferences -- misses that organizations are coalitions of individuals with diverse and often conflicting goals. Although…
We study random utility (RU) rationality with aggregation when the underlying alternatives in each aggregate vary across consumers and are unobserved, as is typical for an outside option. RUM over the underlying alternatives is the natural…
To successfully navigate its environment, an agent must construct and maintain representations of the other agents that it encounters. Such representations are useful for many tasks, but they are not without cost. As a result, agents must…