Related papers: Anticomonotonicity for Preference Axioms: The Natu…
The classical notion of comonotonicity has played a pivotal role when solving diverse problems in economics, finance, and insurance. In various practical problems, however, this notion of extreme positive dependence structure is overly…
We extend well-known comparative results under expected utility to models of non-expected utility by providing novel conditions on local utility functions. We illustrate how our results parallel, and are distinct from, existing results for…
There is no single canonical polynomial-time version of the Axiom of Choice (AC); several statements of AC that are equivalent in Zermelo-Fraenkel (ZF) set theory are already inequivalent from a constructive point of view, and are similarly…
Two acts are comonotonic if they yield high payoffs in the same states of nature. The main purpose of this paper is to derive a new characterization of Cumulative Prospect Theory (CPT) through simple properties involving comonotonicity. The…
Diversification represents the idea of choosing variety over uniformity. Within the theory of choice, desirability of diversification is axiomatized as preference for a convex combination of choices that are equivalently ranked. This…
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…
We consider variants on the classical Berz sublinearity theorem, using only DC, the Axiom of Dependent Choices, rather than AC, the Axiom of Choice which Berz used. We consider thinned versions, in which conditions are imposed on only part…
Regulatory and contractual constraints on individual exposures are standard in insurance and reinsurance markets, but a poorly designed constraint can distort the economic incentives of risk-averse agents. In the unconstrained problem, the…
Commutativity is a normative criterion of aggregation and updating stating that the aggregation of expert posteriors should be identical to the update of the aggregated priors. I propose a thought experiment that raises questions about the…
Canonical Correlation Analysis (CCA) is a statistical technique used to extract common information from multiple data sources or views. It has been used in various representation learning problems, such as dimensionality reduction, word…
In this paper we study several monotonicity axioms in approval-based multi-winner voting rules. We consider monotonicity with respect to the support received by the winners and also monotonicity in the size of the committee. Monotonicity…
We represent preferences that exhibit absolute or relative attitudes towards ambiguity without assuming convexity of preferences. Our analysis is motivated by the recent experimental evidence by Baillon and Placido (2019) indicating that…
Pairwise comparisons are used in a wide variety of decision situations where the importance of alternatives should be measured on a numerical scale. One popular method to derive the priorities is based on the right eigenvector of a…
In his constructive and well-informed commentary, Andrei Khrennikov acknowledges a privileged status of classical probability theory with respect to statistical analysis. He also sees advantages offered by the Contextuality-by-Default…
This paper studies axioms for nonmonotonic consequences from a semantics-based point of view, focusing on a class of mathematical structures for reasoning about partial information without a predefined syntax/logic. This structure is called…
Economic choices are often stochastic: the same person may make a different choice when facing the same alternatives repeatedly. Standard models assume that the degree of randomness reflects the size of utility differences, but choice…
I introduce novel preference formulations which capture aversion to ambiguity about unknown and potentially time-varying volatility. I compare these preferences with Gilboa and Schmeidler's maxmin expected utility as well as variational…
An important characteristic of many logics for Artificial Intelligence is their nonmonotonicity. This means that adding a formula to the premises can invalidate some of the consequences. There may, however, exist formulae that can always be…
We consider methods for aggregating preferences that are based on the resolution of discrete optimization problems. The preferences are represented by arbitrary binary relations (possibly weighted) or incomplete paired comparison matrices.…
Classical confidence limits are compared to Bayesian error bounds by studying relevant examples. The performance of the two methods is investigated relative to the properties coherence, precision, bias, universality, simplicity. A proposal…