Related papers: Exogenous Consideration and Extended Random Utilit…
A dynamic model of collective consumption and saving decisions made by a finite number of agents with constant but different discount rates is developed. Collective utility is a weighted sum of individual utilities with time-varying utility…
Traditional learning approaches for classification implicitly assume that each mistake has the same cost. In many real-world problems though, the utility of a decision depends on the underlying context $x$ and decision $y$. However,…
The potential of location-shift models to find adequate models between the proportional odds model and the non-proportional odds model is investigated. It is demonstrated that these models are very useful in ordinal modeling. While…
We study arbitrage opportunities, market viability and utility maximization in market models with an insider. Assuming that an economic agent possesses from the beginning an additional information in the form of a random variable G, which…
This paper studies an $\alpha$-robust utility maximization problem where an investor faces an intractable claim -- an exogenous contingent claim with known marginal distribution but unspecified dependence structure with financial market…
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…
This paper analyzes a society composed of individuals who have diverse sets of beliefs (or models) and diverse tastes (or utility functions). It characterizes the model selection process of a social planner who wishes to aggregate…
This paper illustrates how one can deduce preference from observed choices when attention is not only limited but also random. In contrast to earlier approaches, we introduce a Random Attention Model (RAM) where we abstain from any…
Mixed-effect models are flexible tools for researchers in a myriad of fields, but that flexibility comes at the cost of complexity and if users are not careful in how their model is specified, they could be making faulty inferences from…
We consider a generalization of the recursive utility model by adding a new component that represents utility of investment gains and losses. We also study the utility process in this generalized model with constant elasticity of…
The conventional model for assessing insensitivity to hidden bias in paired observational studies constructs a worst-case distribution for treatment assignments subject to bounds on the maximal bias to which any given pair is subjected. In…
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.…
We consider a problem of optimal investment with intermediate consumption and random endowment in an incomplete semimartingale model of a financial market. We establish the key assertions of the utility maximization theory assuming that…
This paper studies decision problems where the decision maker's choice of action affects the probability distribution of a payoff relevant random variable. We establish sufficient conditions for the existence of an expected utility…
User preferences for automated assistance often vary widely, depending on the situation, and quality or presentation of help. Developing effectivemodels to learn individual preferences online requires domain models that associate…
We examine the issue of sensitivity with respect to model parameters for the problem of utility maximization from final wealth in an incomplete Samuelson model and mainly, but not exclusively, for utility functions of positive power-type.…
We study the design of mechanisms under asymmetric awareness and information. While the mechanism designer cannot necessarily commit to a particular social choice function in the face of unawareness, she can at least commit to properties of…
We perform a stability analysis for the utility maximization problem in a general semimartingale model where both liquid and illiquid assets (random endowments) are present. Small misspecifications of preferences (as modeled via expected…
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…
We revisit the foundations of fairness and its interplay with utility and efficiency in settings where the training data contain richer labels, such as individual types, rankings, or risk estimates, rather than just binary outcomes. In this…