Related papers: Exogenous Consideration and Extended Random Utilit…
Researchers in psychology characterize decision-making as a process of eliminating options. While statistical modelling typically focuses on the eventual choice, we analyze consideration sets describing, for each survey participant, all…
Barseghyan and Molinari (2023) give sufficient conditions for semi-nonparametric point identification of parameters of interest in a mixture model of decision-making under risk, allowing for unobserved heterogeneity in utility functions and…
The problem of demand inversion - a crucial step in the estimation of random utility discrete-choice models - is equivalent to the determination of stable outcomes in two-sided matching models. This equivalence applies to random utility…
Unlike the Probability Theory based on additivity, Statistical Inference seems to hesitate between "Additivity" and a so-called "Maxitivity" approach. After a brief overview of three types of principles for any (parametric) statistical…
Ben-Tal and Teboulle \cite{BTT86} introduce the concept of optimized certainty equivalent (OCE) of an uncertain outcome as the maximum present value of a combination of the cash to be taken out from the uncertain income at present and the…
Empirical economists are often deterred from the application of fixed effects binary choice models mainly for two reasons: the incidental parameter problem and the computational challenge even in moderately large panels. Using the example…
We revisit the problem of portfolio selection, where an investor maximizes utility subject to a risk constraint. Our framework is very general and accommodates a wide range of utility and risk functionals, including non-concave utilities…
This study proposes a tractable stochastic choice model to identify motivations for prosocial behavior, and to explore alternative motivations of deliberate randomization beyond ex-ante fairness concerns. To represent social preferences, we…
In this note, we study the utility maximization problem on the terminal wealth under proportional transaction costs and bounded random endowment. In particular, we restrict ourselves to the num\'eraire-based model and work with utility…
Existing approaches to asset-pricing under model-uncertainty adapt classical utility-maximization frameworks and seek theoretical comprehensiveness. We move toward practice by considering binary model-risks and by emphasizing 'constraints'…
In mechanical design, there is often unavoidable uncertainty in estimates of design performance. Evaluation of design alternatives requires consideration of the impact of this uncertainty. Expert heuristics embody assumptions regarding the…
This paper studies the problem of maximizing the expected utility of terminal wealth for a financial agent with an unbounded random endowment, and with a utility function which supports both positive and negative wealth. We prove the…
Typically, merit is defined with respect to some intrinsic measure of worth. We instead consider a setting where an individual's worth is \emph{relative}: when a Decision Maker (DM) selects a set of individuals from a population to maximise…
An agent choosing between various actions tends to take the one with the lowest cost. But this choice is arguably too rigid (not adaptive) to be useful in complex situations, e.g., where exploration-exploitation trade-off is relevant in…
We study the sensitivity of the expected utility maximization problem in a continuous semi-martingale market with respect to small changes in the market price of risk. Assuming that the preferences of a rational economic agent are modeled…
We study a continuous-time expected utility maximization problem in which the investor at maturity receives the value of a contingent claim in addition to the investment payoff from the financial market. The investor knows nothing about the…
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)…
The standard rational choice model describes individuals as making choices by selecting the best option from a menu. A wealth of evidence instead suggests that individuals often filter menus into smaller sets - consideration sets - from…
I study robust comparative statics for risk-averse subjective expected utility (SEU) maximizers. Starting with a finite menu of actions totally ordered by sensitivity to risk, I identify the transformations of her menu that lead a…
We say a model is continuous in utilities (resp., preferences) if small perturbations of utility functions (resp., preferences) generate small changes in the model's outputs. While similar, these two questions are different. They are only…