Related papers: Independence and indifferent points imply continui…
The Independence Postulate (IP) is a finitary Church-Turing Thesis, saying mathematical sequences are independent from physical ones. IP implies the existence of anomalies.
The Independence Postulate (IP) is a finitary Church-Turing Thesis, saying mathematical sequences are independent from physical ones. Modelling observations as infinite sequences of real numbers, IP implies the existence of anomalies.
We consider an agent with a rationally inattentive preference over menus of acts, as in de Oliveira et al (2017). We show that two axioms, Independence of Irrelevant Alternatives and Ignorance Equivalence, are necessary and sufficient for…
Complex continuous or mixed joint distributions (e.g., P(Y | z_1, z_2, ..., z_N)) generally lack closed-form solutions, often necessitating approximations such as MCMC. This paper proposes Indeterminate Probability Theory (IPT), which makes…
We propose indifference pricing to estimate the value of the weak information. Our framework allows for tractability, quantifying the amount of additional information, and permits the description of the smallness and the stability with…
In a model with no given probability measure, we consider asset pricing in the presence of frictions and other imperfections and characterize the property of coherent pricing, a notion related to (but much weaker than) the no arbitrage…
We investigate the notion of independence, which is at the basis of many, seemingly unrelated, properties of logic like Rational Monotony in non-monotonic logics, and interpolation theorems.
This paper considers utility indifference valuation of derivatives under model uncertainty and trading constraints, where the utility is formulated as an additive stochastic differential utility of both intertemporal consumption and…
Inverse limits, unlike direct limits, can in general be void, [1]. The existence of fixed points for arbitrary mappings $T : X \longrightarrow X$ is conjectured to be equivalent with the fact that related direct limits of all finite…
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…
In a model with no given probability measure, we consider asset pricing in the presence of frictions and other imperfections and characterize the property of coherent pricing, a notion related to (but much weaker than) the no arbitrage…
Pairwise comparison matrices often exhibit inconsistency, therefore many indices have been suggested to measure their deviation from a consistent matrix. A set of axioms has been proposed recently that is required to be satisfied by any…
Independence from non-essential changes in input information is a widely recognized axiom in social choice theory. This independence reduces the cost of specifying and/or analyzing non-essential data. This study makes a comprehensive…
We introduce and prove the consistency of a new set theoretic axiom we call the \emph{Invariant Ideal Axiom}. The axiom enables us to provide (consistently) a full topological classification of countable sequential groups, as well as fully…
We consider a general local-stochastic volatility model and an investor with exponential utility. For a European-style contingent claim, whose payoff may depend on either a traded or non-traded asset, we derive an explicit approximation for…
In financial markets valuable information is rarely circulated homogeneously, because of time required for information to spread. However, advances in communication technology means that the 'lifetime' of important information is typically…
This paper formulates an utility indifference pricing model for investors trading in a discrete time financial market under non-dominated model uncertainty. The investors preferences are described by strictly increasing concave random…
We give an axiomatic characterization of the fixed point index of an $n$-valued map. For $n$-valued maps on a polyhedron, the fixed point index is shown to be unique with respect to axioms of homotopy invariance, additivity, and a splitting…
In a recent paper as an alternative to models based on the notion of ideal mathematical point, characterized by a property of separatedness, we considered a viewpoint based on the notion of continuous change, making use of elements of a…
We introduce an atomic formula intuitively saying that given variables are independent from given other variables if a third set of variables is kept constant. We contrast this with dependence logic. We show that our independence atom gives…