Related papers: Disappointment Aversion and Expectiles
Gilboa and Schmeidler's (1989) uncertainty aversion plays a central role in decision theory and economics, yet many inconsistent behaviors have been observed in experiments. Motivated by this, we study an axiom postulating a minimal degree…
We represent preferences that exhibit absolute or relative attitudes towards ambiguity without assuming convexity of preferences. Our analysis is motivated by the recent experimental evidence by Baillon and Placido (2019) indicating that…
This paper axiomatizes, in a two-stage setup, a new theory for decision under risk and ambiguity. The axiomatized preference relation $\succeq$ on the space $\tilde{V}$ of random variables induces an ambiguity index $c$ on the space…
We introduce an axiom of disappointment-concordance (disco) aversion for a preference relation over acts in an Anscombe-Aumann setting. This axiom means that the decision maker, facing the sum of two acts, dislikes the situation where both…
This paper addresses the continuous-time portfolio selection problem under generalized disappointment aversion (GDA). The implicit definition of the certainty equivalent within GDA preferences introduces time inconsistency to this problem.…
Since Leonard Savage's epoch-making "Foundations of Statistics", Subjective Expected Utility Theory has been the presumptive model for decision-making. Savage provided an act-based axiomatization of standard expected utility theory. In this…
Evidence suggests that participants in strategy-proof matching mechanisms play dominated strategies. To explain the data, we introduce expectation-based loss aversion into a school-choice setting and characterize choice-acclimating personal…
The expected utility hypothesis is one of the building blocks of classical economic theory and founded on Savage's Sure-Thing Principle. It has been put forward, e.g. by situations such as the Allais and Ellsberg paradoxes, that real-life…
The goal of this paper is to provide a theory linear regression based entirely on approximations. It will be argued that the standard linear regression model based theory whether frequentist or Bayesian has failed and that this failure is…
I introduce novel preference formulations which capture aversion to ambiguity about unknown and potentially time-varying volatility. I compare these preferences with Gilboa and Schmeidler's maxmin expected utility as well as variational…
Prominent approaches to belief revision prescribe the adoption of a new belief that is as close as possible to the prior belief, in a process that, even in the standard case, can be described as attempting to minimize surprise. Here we…
We present a novel variant of decision making based on the mathematical theory of separable Hilbert spaces. This mathematical structure captures the effect of superposition of composite prospects, including many incorporated intentions,…
This paper develops a theory of learning under ambiguity induced by the decision maker's beliefs about the collection of data correlated with the true state of the world. Within our framework, two classical results on Bayesian learning…
Ambiguity and ambiguity aversion have been widely studied in decision theory and economics both at a theoretical and an experimental level. After Ellsberg's seminal studies challenging subjective expected utility theory (SEUT), several…
Neural networks are popular state-of-the-art models for many different tasks.They are often trained via back-propagation to find a value of the weights that correctly predicts the observed data. Although back-propagation has shown good…
Social choice theory is a theoretical framework for analysis of combining individual preferences, interests, or welfare to reach a collective decision or social welfare in some sense. We introduce a new criterion for social choice protocols…
The problem of comparing concepts of dependence in general rough sets with those in probability theory had been initiated by the present author in some of her recent papers. This problem relates to the identification of the limitations of…
People often deviate from expected utility theory when making risky and intertemporal choices. While the effects of probabilistic risk and time delay have been extensively studied in isolation, their interplay and underlying theoretical…
This article considers a stable vector autoregressive (VAR) model and investigates return predictability in a Bayesian context. The VAR system comprises asset returns and the dividend-price ratio as proposed in Cochrane (2008), and allows…
In this paper we extend Savage's theory of decision-making under uncertainty from a classical environment into a non-classical one. We formulate the corresponding axioms and provide representation theorems for qualitative measures and…