Related papers: Disappointment concordance and duet expectiles

We study the dynamic indifference pricing with ambiguity preferences. For this, we introduce the dynamic expected utility with ambiguity via the nonlinear expectation--G-expectation, introduced by Peng (2007). We also study the risk…

We introduce a model-free preference under ambiguity, as a primitive trait of behavior, which we apply once as well as repeatedly. Its single and double application yield simple, easily interpretable definitions of ambiguity aversion and…

In computational social choice, the distortion of a voting rule quantifies the degree to which the rule overcomes limited preference information to select a socially desirable outcome. This concept has been investigated extensively, but…

We obtain variants of the classical von Neumann-Morgenstern expected utility theorem, with and without the completeness axiom, in which the derived Bernoulli utility functions are Lipschitz. The prize space in these results is an arbitrary…

Social choice theory is a theoretical framework for analysis of combining individual preferences, interests, or welfare to reach a collective decision or social welfare in some sense. We introduce a new criterion for social choice protocols…

We consider a monopoly insurance market with a risk-neutral profit-maximizing insurer and a consumer with Yaari Dual Utility preferences that distort the given continuous loss distribution. The insurer observes the loss distribution but not…

We consider the problem of rationalizing choice data by a preference satisfying an arbitrary collection of invariance axioms. Examples of such axioms include quasilinearity, homotheticity, independence-type axioms for mixture spaces,…

Expected Utility: Algebraic Expected Utility In this paper, we provide two axiomatizations of algebraic expected utility, which is a particular generalized expected utility, in a von Neumann-Morgenstern setting, i.e. uncertainty…

Ambiguity and ambiguity aversion have been widely studied in decision theory and economics both at a theoretical and an experimental level. After Ellsberg's seminal studies challenging subjective expected utility theory (SEUT), several…

The desirable gambles framework provides a foundational approach to imprecise probability theory but relies heavily on linear utility assumptions. This paper introduces function-coherent gambles, a generalization that accommodates…

We present a theory of expected utility with state-dependent linear utility functions for monetary returns, that incorporates the possibility of loss-aversion. Our results relate to first order stochastic dominance, mean-preserving spread,…

This paper recasts Gul (1991)'s theory of disappointment aversion in a Savage framework, with general outcomes, new explicit axioms of disappointment aversion, and novel explicit representations. These permit broader applications of the…

We conduct an incentivized experiment on a nationally representative US sample \\ (N=708) to test whether people prefer to avoid ambiguity even when it means choosing dominated options. In contrast to the literature, we find that 55\% of…

This paper features expectiles in dynamic and stochastic optimization. Expectiles are a family of risk functionals characterized as minimizers of optimization problems. For this reason, they enjoy various unique stability properties, which…

We study the distributional behavior of additive arithmetic functions evaluated at integers drawn from the harmonic distribution. Our main result shows that a broad family of such functions converges in law to conditioned Dickman-type…

We establish a variety of numerical representations of preference relations induced by set-valued risk measures. Because of the general incompleteness of such preferences, we have to deal with multi-utility representations. We look for…

Standard policy gradients weight each sampled action by advantage alone, regardless of how likely that action was under the current policy. This creates two pathologies: within a single decision context (e.g. one image or prompt), a rare…

Accepting a proposition means that our confidence in this proposition is strictly greater than the confidence in its negation. This paper investigates the subclass of uncertainty measures, expressing confidence, that capture the idea of…

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 appear in imprecise-probabilistic decision…

We consider a model of socially interacting individuals that make a binary choice in a context of positive additive endogenous externalities. It encompasses as particular cases several models from the sociology and economics literature. We…