Related papers: A duality between utility transforms and probabili…
We consider all possible dynamical theories which evolve two transverse vector fields out of a three-dimensional Euclidean hyperplane, subject to only two assumptions: (i) the evolution is local in space, and (ii) the theory is invariant…
We prove some new properties of fidelity (transition probability) and concurrence, the latter defined by straightforward extension of Wootters notation. Choose a conjugation and consider the dependence of fidelity or of concurrence on…
We provide an axiomatic characterization of lexicographic preferences over the set of all random availability functions using two assumptions. The first assumption is strong monotonicity, which in our framework is equivalent to the strong…
A classical problem of statistical inference is the valid specification of a model that can account for the statistical dependencies between observations when the true structure is dense, intractable, or unknown. To address this problem, a…
We investigate the application of classification techniques to utility elicitation. In a decision problem, two sets of parameters must generally be elicited: the probabilities and the utilities. While the prior and conditional probabilities…
We develop a tractable model of realization utility that studies the role of reference-dependent S-shaped preferences in a dynamic investment setting with reinvestment. Our model generates both voluntarily realized gains and losses. It…
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…
People often deviate from expected utility theory when making risky and intertemporal choices. While the effects of probabilistic risk and time delay have been extensively studied in isolation, their interplay and underlying theoretical…
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.…
If the prior probability distributions of all possible hypothetical true means and all possible observed means of a continuous variable are conditional on the universal set of all numbers (i.e., before the nature of a study is known and a…
We study social choice rules under the utilitarian distortion framework, with an additional metric assumption on the agents' costs over the alternatives. In this approach, these costs are given by an underlying metric on the set of all…
We show that, in a resource allocation problem, the ex ante aggregate utility of players with cumulative-prospect-theoretic preferences can be increased over deterministic allocations by implementing lotteries. We formulate an optimization…
In this paper we extend the stability results of [4]}. Our utility maximization problem is defined as an essential supremum of conditional expectations of the terminal values of wealth processes, conditioned on the filtration at the…
This paper considers utility indifference valuation of derivatives under model uncertainty and trading constraints, where the utility is formulated as an additive stochastic differential utility of both intertemporal consumption and…
In classical and quantum information theory, operational quantities such as the amount of randomness that can be extracted from a given source or the amount of space needed to store given data are normally characterized by one of two…
A two-state master equation based decision making model has been shown to generate phase transitions, to be topologically complex and to manifest temporal complexity through an inverse power-law probability distribution function in the…
We introduce and study a notion of duality for two classes of optimization problems commonly occurring in probability theory. That is, on an abstract measurable space $(\Omega,\mathcal{F})$, we consider pairs $(E,\mathcal{G})$ where $E$ is…
Using a probabilistic approach, we derive some interesting combinatorial identities involving gamma and beta functions. These results generalize certain well-known combinatorial identities involving binomial coefficients and special…
The aim of this paper is to propose a generalization of previous approaches in qualitative decision making. Our work is based on the binary possibilistic utility (PU), which is a possibilistic counterpart of Expected Utility (EU).We first…
In this paper a class of optimization problems with uncertain linear constraints is discussed. It is assumed that the constraint coefficients are random vectors whose probability distributions are only partially known. Possibility theory is…