Related papers: Choquet rank-dependent utility with an exogenous u…
Diversification represents the idea of choosing variety over uniformity. Within the theory of choice, desirability of diversification is axiomatized as preference for a convex combination of choices that are equivalently ranked. This…
This paper investigates a purely qualitative version of Savage's theory for decision making under uncertainty. Until now, most representation theorems for preference over acts rely on a numerical representation of utility and uncertainty…
In random expected utility (Gul and Pesendorfer, 2006), the distribution of preferences is uniquely recoverable from random choice. This paper shows through two examples that such uniqueness fails in general if risk preferences are random…
We propose an axiomatization of the Choquet integral model for the general case of a heterogeneous product set $X = X_1 \times \ldots \times X_n$. In MCDA elements of $X$ are interpreted as alternatives, characterized by criteria taking…
This paper shows how we can combine logical representations of actions and decision theory in such a manner that seems natural for both. In particular we assume an axiomatization of the domain in terms of situation calculus, using what is…
We address the pattern explosion problem in pattern mining by proposing an interactive learning framework that combines nonlinear utility aggregation with geometry-aware query selection. Our method models user preferences through a Choquet…
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…
Choquet expected utility (CEU) is one of the most sophisticated decision criteria used in decision theory under uncertainty. It provides a generalisation of expected utility enhancing both descriptive and prescriptive possibilities. In this…
Aggregating risks from multiple sources can be complex and demanding, and decision makers usually adopt heuristics to simplify the evaluation process. This paper axiomatizes two closed related and yet different heuristics, narrow bracketing…
We generalize the AIXI reinforcement learning agent to admit a wider class of utility functions. Assigning a utility to each possible interaction history forces us to confront the ambiguity that some hypotheses in the agent's belief…
Motivated by recent axiomatic developments, we study the risk- and ambiguity-averse investment problem where trading takes place over a fixed finite horizon and terminal payoffs are evaluated according to a criterion defined in terms of a…
It is well known that the minimal superhedging price of a contingent claim is too high for practical use. In a continuous-time model uncertainty framework, we consider a relaxed hedging criterion based on acceptable shortfall risks.…
When it comes to structural estimation of risk preferences from data on choices, random utility models have long been one of the standard research tools in economics. A recent literature has challenged these models, pointing out some…
This paper presents a method for incorporating risk aversion into existing decision tree models used in economic evaluations. The method involves applying a probability weighting function based on rank dependent utility theory to reduced…
Many evaluation metrics have been defined to evaluate the effectiveness ad-hoc retrieval and search result diversification systems. However, it is often unclear which evaluation metric should be used to analyze the performance of retrieval…
We investigate the problem of finding upper and lower bounds for a Choquet risk measure of a nonlinear function of two risk factors, when the marginal distributions of the risk factors are ambiguous and represented by nonadditive measures…
Dybvig (1988a,b) solves in a complete market setting the problem of finding a payoff that is cheapest possible in reaching a given target distribution ("cost-efficient payoff"). In the presence of ambiguity, the distribution of a payoff is,…
Decision maker's preferences are often captured by some choice functions which are used to rank prospects. In this paper, we consider ambiguity in choice functions over a multi-attribute prospect space. Our main result is a robust…
In a consideration set model, an individual maximizes utility among the considered alternatives. I relate a consideration set additive random utility model to classic discrete choice and the extended additive random utility model, in which…
Complexity of the problem of choosing among uncertain acts is a salient feature of many of the environments in which departures from expected utility theory are observed. I propose and axiomatize a model of choice under uncertainty in which…