Related papers: Cautious Dual-Self Expected Utility and Weak Uncer…
On a capital market the social group is formed from traders. Individual behaviour of agents is influenced by the need to associate with other agents and to obtain the approval of other agents in the group. Making decisions an individual…
The ideas of aleatoric and epistemic uncertainty are widely used to reason about the probabilistic predictions of machine-learning models. We identify incoherence in existing discussions of these ideas and suggest this stems from the…
Applications of machine learning inform human decision makers in a broad range of tasks. The resulting problem is usually formulated in terms of a single decision maker. We argue that it should rather be described as a two-player learning…
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…
A decision maker's utility depends on her action $a\in A \subset \mathbb{R}^d$ and the payoff relevant state of the world $\theta\in \Theta$. One can define the value of acquiring new information as the difference between the maximum…
This paper studies the continuous-time pre-commitment KMM problem proposed by Klibanoff, Marinacci and Mukerji (2005) in incomplete financial markets, which concerns with the portfolio selection under smooth ambiguity. The decision maker…
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…
Recovering and distinguishing between the strict-preference, indifference and/or indecisiveness parts of a decision maker's preferences is a challenging task but also important for testing theory and conducting welfare analysis. This paper…
{\it Ellsberg thought experiments} and empirical confirmation of Ellsberg preferences pose serious challenges to {\it subjective expected utility theory} (SEUT). We have recently elaborated a quantum-theoretic framework for human decisions…
We study three axioms in the model of constrained social choice under uncertainty where (i) agents have subjective expected utility preferences over acts and (ii) different states of nature have (possibly) different sets of available…
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,…
Gallice and Monz\'on (2019) present a natural environment that sustains full co-operation in one-shot social dilemmas among a finite number of self-interested agents. They demonstrate that in a sequential public goods game, where agents…
Understanding the nature of strategic voting is the holy grail of social choice theory, where game-theory, social science and recently computational approaches are all applied in order to model the incentives and behavior of voters. In a…
Individuals use models to guide decisions, but many models are wrong. This paper studies which misspecified models are likely to persist when individuals also entertain alternative models. Consider an agent who uses her model to learn the…
This paper formulates and studies a general continuous-time behavioral portfolio selection model under Kahneman and Tversky's (cumulative) prospect theory, featuring S-shaped utility (value) functions and probability distortions. Unlike the…
An analyst observes the frequency with which a decision maker (DM) takes actions, but not the frequency conditional on payoff-relevant states. We ask when the analyst can rationalize the DM's choices as if the DM first learns something…
This paper studies a new and more general axiomatization than one presented previously for preference on likelihood gambles. Likelihood gambles describe actions in a situation where a decision maker knows multiple probabilistic models and a…
Under mean-variance-utility framework, we propose a new portfolio selection model, which allows wealth and time both have influences on risk aversion in the process of investment. We solved the model under a game theoretic framework and…
This paper formulates a model of utility for a continuous time framework that captures the decision-maker's concern with ambiguity about both volatility and drift. Corresponding extensions of some basic results in asset pricing theory are…
Snapshots of "best" (or "worst") experience are known to dominate human memory and may thus also have a significant effect on future behaviour. We consider here a model of repeated decision-making where, at every time step, an agent takes…