Related papers: Risk and Monotone Comparative Statics without Inde…
We expose a theoretical hedging optimization framework with variational preferences under convex risk measures. We explore a general dual representation for the composition between risk measures and utilities. We study the properties of the…
Positive dependencies have been compared in the literature under rather strong assumptions such as equality of conditional distributions, exchangeability, or stationarity. We establish supermodular ordering results for distributions that…
In this paper we focus on providing sufficient conditions for some well-known stochastic orders in reliability but dealing with the discrete versions of them, filling a gap in the literature. In particular, we find conditions based on the…
The concept of conditional expectation is important in applications of probability and statistics in many areas such as reliability engineering, economy, finance, and actuarial sciences due to its property of being the best predictor of a…
We introduce and study the property of orthogonal independence, a restricted additivity axiom applying when alternatives are orthogonal. The axiom requires that the preference for one marginal change over another should be maintained after…
We present a new strategic voting model where we use uncertainty representation to model preferences. Specifically, we use probability sets as uncertainty representations, together with lower and upper expected utility gains to take…
We present a detailed model of collaboration in communities of practice and we examine its dynamical consequences for the group as a whole. We establish the existence of a novel mechanism that allows the community to naturally adapt to…
In this paper we study a robust utility maximization problem in continuous time under model uncertainty. The model uncertainty is governed by a continuous semimartingale with uncertain local characteristics. Here, the differential…
To model combinatorial decision problems involving uncertainty and probability, we introduce stochastic constraint programming. Stochastic constraint programs contain both decision variables (which we can set) and stochastic variables…
We consider active learning under incentive compatibility constraints. The main application of our results is to economic experiments, in which a learner seeks to infer the parameters of a subject's preferences: for example their attitudes…
For incomplete preference relations that are represented by multiple priors and/or multiple -- possibly multivariate -- utility functions, we define a certainty equivalent as well as the utility buy and sell prices and indifference price…
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…
There are many kinds of exogeneity assumptions. How should researchers choose among them? When exogeneity is imposed on an unobservable like a potential outcome, we argue that the form of exogeneity should be chosen based on the kind of…
Predictive models are often introduced to decision-making tasks under the rationale that they improve performance over an existing decision-making policy. However, it is challenging to compare predictive performance against an existing…
A key challenge in causal inference from observational studies is the identification and estimation of causal effects in the presence of unmeasured confounding. In this paper, we introduce a novel approach for causal inference that…
We investigate operator-valued monotone independence, a noncommutative version of independence for conditional expectation. First we introduce operator-valued monotone cumulants to clarify the whole theory and show the moment-cumulant…
This paper investigates the use of risk measures and theories of choice for modeling risk-averse route choice and traffic network equilibrium with random travel times. We interpret the postulates of these theories in the context of routing,…
Background: Any sample of individuals has its own, unique distribution of preferences for choices that they make. Discrete choice models try to capture these distributions. Mixed logits are by far the most commonly used choice model in…
This paper introduces a space of variable lotteries and proves a constructive version of the expected utility theorem. The word ``constructive'' is used here in two senses. First, as in constructive mathematics, the logic underlying proofs…
Statistical inference for stochastic processes with time-varying spectral characteristics has received considerable attention in recent decades. We develop a nonparametric test for stationarity against the alternative of a smoothly…