Related papers: Choquet rank-dependent utility with an exogenous u…
The strategic selection of resources by selfish agents has long been a key area of research, with Resource Selection Games and Congestion Games serving as prominent examples. In these traditional frameworks, agents choose from a set of…
Standard selective prediction methods typically estimate uncertainty from the output of a single predictive branch. While effective for general uncertainty estimation, these approaches often struggle under partial observability, where local…
We obtain a necessary and sufficient condition under which random-coefficient discrete choice models, such as mixed-logit models, are rich enough to approximate any nonparametric random utility models arbitrarily well across choice sets.…
Traditional learning approaches for classification implicitly assume that each mistake has the same cost. In many real-world problems though, the utility of a decision depends on the underlying context $x$ and decision $y$. However,…
Several non-linear functions and machine learning methods have been developed for flexible specification of the systematic utility in discrete choice models. However, they lack interpretability, do not ensure monotonicity conditions, and…
We consider the robust exponential utility maximization problem in discrete time: An investor maximizes the worst case expected exponential utility with respect to a family of nondominated probabilistic models of her endowment by…
We investigate a continuous-time investment-consumption problem with model uncertainty in a general diffusion-based market with random model coefficients. We assume that a power utility investor is ambiguity-averse, with the preference to…
We perform a stability analysis for the utility maximization problem in a general semimartingale model where both liquid and illiquid assets (random endowments) are present. Small misspecifications of preferences (as modeled via expected…
We provide sufficient conditions under which a utility function may be recovered from a finite choice experiment. Identification, as is commonly understood in decision theory, is not enough. We provide a general recoverability result that…
Although the foundations of ranking are well established, the ranking literature has primarily been focused on simple, unimodal models, e.g. the Mallows and Plackett-Luce models, that define distributions centered around a single total…
In a discrete-time financial market, a generalized duality is established for model-free superhedging, given marginal distributions of the underlying asset. Contrary to prior studies, we do not require contingent claims to be upper…
We prove existence and uniqueness of stochastic equilibria in a class of incomplete continuous-time financial environments where the market participants are exponential utility maximizers with heterogeneous risk-aversion coefficients and…
This paper introduces the distributionally robust random utility model (DRO-RUM), which allows the preference shock (unobserved heterogeneity) distribution to be misspecified or unknown. We make three contributions using tools from the…
This survey reviews recent developments in revealed preference theory. It discusses the testable implications of theories of choice that are germane to specific economic environments. The focus is on expected utility in risky environments;…
We present results for Choquet integrals with minimal assumptions on the monotone set function through which they are defined. They include the equivalence of sublinearity and strong subadditivity independent of regularity assumptions on…
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…
We study decision dependent distributionally robust optimization models, where the ambiguity sets of probability distributions can depend on the decision variables. These models arise in situations with endogenous uncertainty. The developed…
It is well known that ex ante social preferences and expected utility are not always compatible. In this note, we introduce a novel framework that naturally separates social preferences from selfish preferences to answer the following…
We consider social welfare functions when the preferences of individual agents and society maximize subjective expected utility in the tradition of Savage. A system of axioms is introduced whose unique solution is the social welfare…
We examine a problem of demand for insurance indemnification, when the insured is sensitive to ambiguity and behaves according to the Maxmin-Expected Utility model of Gilboa and Schmeidler (1989), whereas the insurer is a (risk-averse or…