Related papers: Subjective Expected Utility and Psychological Gamb…

This work lies in the fusion of experimental economics and data mining. It continues author's previous work on mining behaviour rules of human subjects from experimental data, where game-theoretic predictions partially fail to work.…

We study consumption dependence in the context of random utility and repeated choice. We show that, in the presence of consumption dependence, the random utility model is a misspecified model of repeated rational choice. This…

We characterize ex-post implementable allocation rules for single object auctions under quasi-linear preferences with convex interdependent value functions. We show that requiring ex-post implementability is equivalent to requiring that the…

I study robust comparative statics for risk-averse subjective expected utility (SEU) maximizers. Starting with a finite menu of actions totally ordered by sensitivity to risk, I identify the transformations of her menu that lead a…

People rationalize their past choices, even those that were mistakes in hindsight. We propose a formal theory of this behavior. The theory predicts that sunk costs affect later choices. Its model primitives are identified by choice behavior…

The noncooperative Nash equilibrium solution of classical games corresponds to a rational expectations attitude on the part of the players. However, in many cases, games played by human players have outcomes very different from Nash…

Credit ratings are widely used by investors as a screening device. We introduce and study several natural notions of risk consistency that promote prudent investment decisions in the framework of Choquet rating criteria. Three closely…

We ask if participants in a choice experiment with repeated presentation of the same menus and no feedback provision: (i) exhibit overall behaviour that is consistent with ordinal and expected utility theory under *weak* preferences; (ii)…

We consider a decision maker who is unaware of objects to be sampled and thus cannot form beliefs about the occurrence of particular objects. Ex ante she can form beliefs about the occurrence of novelty and the frequencies of yet to be…

Modern portfolio theory(MPT) addresses the problem of determining the optimum allocation of investment resources among a set of candidate assets. In the original mean-variance approach of Markowitz, volatility is taken as a proxy for risk,…

The results in this paper add useful tools to the theory of sets of desirable gambles, a growing toolbox for reasoning with partial probability assessments. We investigate how to combine a number of marginal coherent sets of desirable…

The Choquet integral is a powerful aggregation operator which lists many well-known models as its special cases. We look at these special cases and provide their axiomatic analysis. In cases where an axiomatization has been previously given…

This paper considers games where the utilities for agents are the sum of a term proportional to a social utility, and another term that is an individual cost or reward. The agents are assumed to be irrational in their perception of the…

A logic is defined that allows to express information about statistical probabilities and about degrees of belief in specific propositions. By interpreting the two types of probabilities in one common probability space, the semantics given…

Shafer's theory of belief and the Bayesian theory of probability are two alternative and mutually inconsistent approaches toward modelling uncertainty in artificial intelligence. To help reduce the conflict between these two approaches,…

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 introduce the notion of exchangeable equilibria of a symmetric bimatrix game, defined as those correlated equilibria in which players' strategy choices are conditionally independently and identically distributed given some hidden…

Probabilistic game structures combine both nondeterminism and stochasticity, where players repeatedly take actions simultaneously to move to the next state of the concurrent game. Probabilistic alternating simulation is an important tool to…

Expected utility theory (EUT) is widely used in economic theory. However, its subjective probability formulation, first elaborated by Savage, is linked to Ellsberg-like paradoxes and ambiguity aversion. This has led various scholars to work…

In a consideration set model, an individual maximizes utility among the considered alternatives. I relate a consideration set additive random utility model to classic discrete choice and the extended additive random utility model, in which…