Related papers: Disappointment concordance and duet expectiles
Gilboa and Schmeidler's (1989) uncertainty aversion plays a central role in decision theory and economics, yet many inconsistent behaviors have been observed in experiments. Motivated by this, we study an axiom postulating a minimal degree…
We establish an equivalence between two seemingly different theories: one is the traditional axiomatisation of incomplete preferences on horse lotteries based on the mixture independence axiom; the other is the theory of desirable gambles…
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…
An experimenter seeks to learn a subject's preference relation. The experimenter produces pairs of alternatives. For each pair, the subject is asked to choose. We argue that, in general, large but finite data do not give close…
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…
This paper axiomatizes, in a two-stage setup, a new theory for decision under risk and ambiguity. The axiomatized preference relation $\succeq$ on the space $\tilde{V}$ of random variables induces an ambiguity index $c$ on the space…
Probabilistic risk aversion, defined through quasi-convexity in probabilistic mixtures, is a common useful property in decision analysis. We study a general class of non-monotone mappings, called the generalized rank-dependent functions,…
Incomplete preferences provide the epistemic foundation for models of imprecise subjective probabilities and utilities that are used in robust Bayesian analysis and in theories of bounded rationality. This paper presents a simple…
This paper addresses the continuous-time portfolio selection problem under generalized disappointment aversion (GDA). The implicit definition of the certainty equivalent within GDA preferences introduces time inconsistency to this problem.…
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…
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…
Evidence suggests that participants in strategy-proof matching mechanisms play dominated strategies. To explain the data, we introduce expectation-based loss aversion into a school-choice setting and characterize choice-acclimating personal…
Comonotonicity (``same variation'') of random variables minimizes hedging possibilities and has been widely used, e.g., in Gilboa and Schmeidler's ambiguity models. This paper investigates anticomonotonicity (``opposite variation'';…
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)…
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…
This paper investigates the problem of finding a preference relation on a set of acts from the knowledge of an ordering on events (subsets of states of the world) describing the decision-maker (DM)s uncertainty and an ordering of…
This paper studies preference aggregation under ambiguity when agents have incomplete preference relations due to imprecise beliefs. We introduce the "dual" of the Pareto principle, which respects unanimity among individuals, including…
In random expected utility (Gul and Pesendorfer, 2006), the distribution of preferences is uniquely recoverable from random choice. This paper shows through two examples that such uniqueness fails in general if risk preferences are random…
Monotonicity and recursivity are central assumptions in intertemporal consumption problems under ambiguity. We show that monotone recursive preferences admit both a recursive and an ex-ante representation, and that the certainty equivalent…
We derive the joint asymptotic distribution of empirical quantiles and expected shortfalls under general conditions on the distribution of the underlying observations. In particular, we do not assume that the distribution function is…