Related papers: Choquet rank-dependent utility with an exogenous u…
We study the problem of maximising terminal utility for an agent facing model uncertainty, in a frictionless discrete-time market with one safe asset and finitely many risky assets. We show that an optimal investment strategy exists if the…
Probabilistic independence can dramatically simplify the task of eliciting, representing, and computing with probabilities in large domains. A key technique in achieving these benefits is the idea of graphical modeling. We survey existing…
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…
It is not, in general, possible to have access to all variables that determine the behavior of a system. Having identified a number of variables whose values can be accessed, there may still be hidden variables which influence the dynamics…
This paper investigates portfolio selection within a continuous-time financial market with regime-switching and beliefs-dependent utilities. The market coefficients and the investor's utility function both depend on the market regime, which…
In this paper, we study expected utility maximization under ratchet and drawdown constraints on consumption in a general incomplete semimartingale market using duality methods. The optimization is considered with respect to two parameters:…
Motivated by problems of learning to rank long item sequences, we introduce a variant of the cascading bandit model that considers flexible length sequences with varying rewards and losses. We formulate two generative models for this…
This paper studies dynamic asset allocation with interest rate risk and several sources of ambiguity. The market consists of a risk-free asset, a zero-coupon bond (both determined by a Vasicek model), and a stock. There is ambiguity about…
We study an optimal investment/consumption problem in a model capturing market and credit risk dependencies. Stochastic factors drive both the default intensity and the volatility of the stocks in the portfolio. We use the martingale…
We study the consumption behaviour of an asymmetric network of heterogeneous agents in the framework of discrete choice models with stochastic decision rules. We assume that the interactions among agents are uniquely specified by their…
We study random utility (RU) rationality with aggregation when the underlying alternatives in each aggregate vary across consumers and are unobserved, as is typical for an outside option. RUM over the underlying alternatives is the natural…
This paper studies stability of the exponential utility maximization when there are small variations on agent's utility function. Two settings are considered. First, in a general semimartingale model where random endowments are present, a…
This paper studies n-player games where players beliefs about their opponents behaviour are capacities. The concept of an equilibrium under uncertainty was introduced J.Dow and S.Werlang (J Econ. Theory 64 (1994) 205--224) for two players…
We unify and establish equivalence between the pathwise and the quasi-sure approaches to robust modelling of financial markets in discrete time. In particular, we prove a Fundamental Theorem of Asset Pricing and a Superhedging Theorem,…
This paper addresses the question of which models fit with information concerning the preferences of the decision maker over each attribute, and his preferences about aggregation of criteria (interacting criteria). We show that the…
We study the design of mechanisms under asymmetric awareness and information. While the mechanism designer cannot necessarily commit to a particular social choice function in the face of unawareness, she can at least commit to properties of…
We consider two market designs for a network of prosumers, trading energy: (i) a centralized design which acts as a benchmark, and (ii) a peer-to-peer market design. High renewable energy penetration requires that the energy market design…
We study preferences estimated from finite choice experiments and provide sufficient conditions for convergence to a unique underlying "true" preference. Our conditions are weak, and therefore valid in a wide range of economic environments.…
In recent years, machine learning models have achieved great success at the expense of highly complex black-box structures. By using axiomatic attribution methods, we can fairly allocate the contributions of each feature, thus allowing us…
We propose a robust method of discrete choice analysis when agents' choice sets are unobserved. Our core model assumes nothing about agents' choice sets apart from their minimum size. Importantly, it leaves unrestricted the dependence,…