Related papers: Disappointment concordance and duet expectiles
In this paper, we establish a mathematical duality between utility transforms and probability distortions. These transforms play a central role in decision under risk by forming the foundation for the classic theories of expected utility,…
In this paper we present preliminary work examining the relationship between the formation of expectations and the realization of musical performances, paying particular attention to expressive tempo and dynamics. To compute features that…
Portfolio diversification is a cornerstone of modern finance, while risk aversion is central to decision theory; both concepts are long-standing and foundational. We investigate their connections by studying how different forms of…
Complexity of the problem of choosing among uncertain acts is a salient feature of many of the environments in which departures from expected utility theory are observed. I propose and axiomatize a model of choice under uncertainty in which…
The expectation is an example of a descriptive statistic that is monotone with respect to stochastic dominance, and additive for sums of independent random variables. We provide a complete characterization of such statistics, and explore a…
We study preferences estimated from finite choice experiments and provide sufficient conditions for convergence to a unique underlying "true" preference. Our conditions are weak, and therefore valid in a wide range of economic environments.…
Preference aggregation is a fundamental problem in voting theory, in which public input rankings of a set of alternatives (called preferences) must be aggregated into a single preference that satisfies certain soundness properties. The…
This survey reviews recent developments in revealed preference theory. It discusses the testable implications of theories of choice that are germane to specific economic environments. The focus is on expected utility in risky environments;…
Desirability can be understood as an extension of Anscombe and Aumann's Bayesian decision theory to sets of expected utilities. At the core of desirability lies an assumption of linearity of the scale in which rewards are measured. It is a…
The disjunction effect in human decision making is often taken to show that the classical law of total probability is violated, motivating quantum-like models. We re-examine this claim for the Prisoner's Dilemma disjunction effect. Under…
A mixture preorder is a preorder on a mixture space (such as a convex set) that is compatible with the mixing operation. In decision theoretic terms, it satisfies the central expected utility axiom of strong independence. We consider when a…
This paper investigates a novel behavioral feature of recursive preferences: aversion to risks that persist over time, or simply \textit{correlation aversion}. Greater persistence provides information about future consumption but reduces…
We study mechanism which operate on ordinal preference information (i.e., rank ordered lists of alternatives) on the full domain of weak preferences that admits indifferences. We present a novel decomposition of strategyproofness into three…
It is well-known that for a group of time-consistent decision makers their collective time preferences may become time-inconsistent. Jackson and Yariv (2014) demonstrated that the result of aggregation of exponential discount functions…
We propose and axiomatize preferences on a product state space in light of uncertainty regarding the dependency of different payoff-relevant factors. Dependence structures allow to decompose probabilities and allow to pin down behavior…
We design and implement lab experiments to evaluate the normative appeal of behavior arising from models of ambiguity-averse preferences. We report two main empirical findings. First, we demonstrate that behavior reflects an incomplete…
Choice functions constitute a simple, direct and very general mathematical framework for modelling choice under uncertainty. In particular, they are able to represent the set-valued choices that typically arise from applying decision rules…
By embedding uncertainty into time, we obtain a conjoint axiomatic characterization of both Exponential Discounting and Subjective Expected Utility that accommodates arbitrary state and outcome spaces. In doing so, we provide a novel and…
Expectile bears some interesting properties in comparison to the industry wide expected shortfall in terms of assessment of tail risk. We study the relationship between expectile and expected shortfall using duality results and the link to…
We consider a family of conditional nonlinear expectations defined on the space of bounded random variables and indexed by the class of all the sub-sigma-algebras of a given underlying sigma-algebra. We show that if this family satisfies a…