Related papers: A technical note on finite best-worst random utili…
We develop a preference elicitation method for a Von Neumann-Morgenstern (VNM)-type decision-maker from pairwise comparison data in the presence of response errors. We apply the maximum likelihood estimation (MLE) method to jointly elicit…
Specifying a proper input distribution is often a challenging task in simulation modeling. In practice, there may be multiple plausible distributions that can fit the input data reasonably well, especially when the data volume is not large.…
Stochastic blockmodels provide a convenient representation of relations between communities of nodes in a network. However, they imply a notion of stochastic equivalence that is often unrealistic for real networks, and they comprise large…
We consider the portfolio optimisation problem where the terminal function is an S-shaped utility applied at the difference between the wealth and a random benchmark process. We develop several numerical methods for solving the problem…
We study the utility maximization problem for power utility random fields in a semimartingale financial market, with and without intermediate consumption. The notion of an opportunity process is introduced as a reduced form of the value…
When the information about uncertainty cannot be quantified in a simple, probabilistic way, the topic of possibilistic decision theory is often a natural one to consider. The development of possibilistic decision theory has lead to a series…
The notion of utility maximising entropy (u-entropy) of a probability density, which was introduced and studied by Slomczynski and Zastawniak (Ann. Prob 32 (2004) 2261-2285, arXiv:math.PR/0410115 v1), is extended in two directions. First,…
We address the Merton problem of maximizing the expected utility of terminal wealth using techniques from variational analysis. Under a general continuous semimartingale market model with stochastic parameters, we obtain a characterization…
We introduce a new concept of approximation applicable to decision problems and functions, inspired by Bayesian probability. From the perspective of a Bayesian reasoner with limited computational resources, the answer to a problem that…
The problem of robust utility maximization in an incomplete market with volatility uncertainty is considered, in the sense that the volatility of the market is only assumed to lie between two given bounds. The set of all possible models…
It has been proposed in medical decision analysis to express the ``first do no harm'' principle as an asymmetric utility function in which the loss from killing a patient would count more than the gain from saving a life. Such a utility…
Many real-world black-box optimization problems have multiple conflicting objectives. Rather than attempting to approximate the entire set of Pareto-optimal solutions, interactive preference learning allows to focus the search on the most…
We introduce an efficient method for learning linear models from uncertain data, where uncertainty is represented as a set of possible variations in the data, leading to predictive multiplicity. Our approach leverages abstract…
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…
This paper introduces the distributionally robust random utility model (DRO-RUM), which allows the preference shock (unobserved heterogeneity) distribution to be misspecified or unknown. We make three contributions using tools from the…
Many combinatorial optimization problems can be formulated as the search for a subgraph that satisfies certain properties and minimizes the total weight. We assume here that the vertices correspond to points in a metric space and can take…
Choice overload - in which larger choice sets are detrimental to a chooser's well-being - is potentially of great importance in the design of economic policy. Yet the current evidence on its prevalence is inconclusive. We argue that…
Decision theory has become widely accepted in the AI community as a useful framework for planning and decision making. Applying the framework typically requires elicitation of some form of probability and utility information. While much…
We address the problem of the best uniform approximation by linear combinations of a finite system of functions. If the system is Chebyshev and the problem is unconstrained, then the classical Remez algorithm provides a fast and precise…
We consider the robust exponential utility maximization problem in discrete time: An investor maximizes the worst case expected exponential utility with respect to a family of nondominated probabilistic models of her endowment by…