Related papers: Remarks on Utility in Repeated Bets
A Bayesian design is given by maximising an expected utility over a design space. The utility is chosen to represent the aim of the experiment and its expectation is taken with respect to all unknowns: responses, parameters and/or models.…
In problems involving the allocation of a single non-disposable commodity, we study rules defined on a general domain of preferences requiring only that each preference exhibit a unique global maximum. Our focus is on rules that satisfy a…
An improved mathematical model of social group competition is proposed. The utility obtained by a member of a certain group from each other member is assumed to be group size-dependent. Obtained results are close to available census data.…
An analyst observes an agent take a sequence of actions. The analyst does not have access to the agent's information and ponders whether the observed actions could be justified through a rational Bayesian model with a known utility…
Sets of desirable gambles constitute a quite general type of uncertainty model with an interesting geometrical interpretation. We give a general discussion of such models and their rationality criteria. We study exchangeability assessments…
We examine the problem of optimal portfolio allocation within the framework of utility theory. We apply exponential utility to derive the optimal diversification strategy and logarithmic utility to determine the optimal leverage. We enhance…
In this paper, we obtain a duality result for the exponential utility maximization problem where trading is subject to quadratic transaction costs and the investor is required to liquidate her position at the maturity date. As an…
This paper studies the problem of optimal investment in incomplete markets, robust with respect to stopping times. We work on a Brownian motion framework and the stopping times are adapted to the Brownian filtration. Robustness can only be…
The problem is considered as to whether a monotone function defined on a subset P of a Euclidean space can be strictly monotonically extended to the whole space. It is proved that this is the case if and only if the function is {\em…
We consider classical Merton problem of terminal wealth maximization in finite horizon. We assume that the drift of the stock is following Ornstein-Uhlenbeck process and the volatility of it is following GARCH(1) process. In particular,…
The existence of optimal strategy in robust utility maximization is addressed when the utility function is finite on the entire real line. A delicate problem in this case is to find a "good definition" of admissible strategies, so that an…
We present an optimal investment theorem for a currency exchange model with random and possibly discontinuous proportional transaction costs. The investor's preferences are represented by a multivariate utility function, allowing for…
The adaptation to situations of sequential choice under uncertainty of decision criteria which deviate from (subjective) expected utility raises the problem of ensuring the selection of a nondominated strategy. In particular, when following…
Prediction markets are useful for estimating probabilities of claims whose truth will be revealed at some fixed time -- this includes questions about the values of real-world events (i.e. statistical uncertainty), and questions about the…
This paper is intended to show that a review in the concept of the game theoretical utility, the revised utility to be applied to the definition of the utility of a wave function representing an object subsystem relative to its observer…
Sequences of repeated gambles provide an experimental tool to characterize the risk preferences of humans or artificial decision-making agents. The difficulty of this inference depends on factors including the details of the gambles offered…
The classical Merton investment problem predicts deterministic, state-dependent portfolio rules; however, laboratory and field evidence suggests that individuals often prefer randomized decisions leading to stochastic and noisy choices.…
In frequently repeated matching scenarios, individuals may require diversification in their choices. Therefore, when faced with a set of potential outcomes, each individual may have an ideal lottery over outcomes that represents their…
In studying the complexity of iterative processes it is usually assumed that the arithmetic operations of addition, multiplication, and division can be performed in certain constant times. This assumption is invalid if the precision…
In this paper we examine non-convex dynamic optimization problems with forward looking constraints. We prove that the recursive multiplier formulation in \cite{marcet2019recursive} gives the optimal value if one assumes that the planner has…