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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…

We present a theory of expected utility with state-dependent linear utility functions for monetary returns, that incorporates the possibility of loss-aversion. Our results relate to first order stochastic dominance, mean-preserving spread,…

Probabilistic risk aversion, defined through quasi-convexity in probabilistic mixtures, is a common useful property in decision analysis. We study a general class of non-monotone mappings, called the generalized rank-dependent functions,…

Monotone systems, also known as order-preserving or cooperative systems, are prevalent in models of engineering applications such as transportation and biological networks. In this paper, we investigate the problem of finding a control…

We implement nonparametric revealed-preference tests of subjective expected utility theory and its generalizations. We find that a majority of subjects' choices are consistent with the maximization of some utility function. They respond to…

In this paper, we establish a mathematical duality between utility transforms and probability distortions. These transforms play a central role in decision under risk by forming the foundation for the classic theories of expected utility,…

We say a model is continuous in utilities (resp., preferences) if small perturbations of utility functions (resp., preferences) generate small changes in the model's outputs. While similar, these two questions are different. They are only…

We show that a large effective number of commodities can be a source of equilibrium stability and uniqueness: expanding substitution opportunities strengthens aggregate substitution effects. We study finite dated-commodity exchange…

Split conformal prediction has recently sparked great interest due to its ability to provide formally guaranteed uncertainty sets or intervals for predictions made by black-box neural models, ensuring a predefined probability of containing…

This paper has two main goals: (a) establish several statistical properties---consistency, asymptotic distributions, and convergence rates---of stationary solutions and values of a class of coupled nonconvex and nonsmoothempirical risk…

We revisit Machina's local utility as a tool to analyze attitudes to multivariate risks. We show that for non-expected utility maximizers choosing between multivariate prospects, aversion to multivariate mean preserving increases in risk is…

We use decision theory to compare variants of differential privacy from the perspective of prospective study participants. We posit the existence of a preference ordering on the set of potential consequences that study participants can…

We provide conditions for the stochastic dominance comparisons of a risk $X$ and an associated risk $X+Z$, where $Z$ represents the uncertainty due to the environment and where $X$ and $Z$ can be dependent. The comparisons depend on both…

This paper analyses how risk-taking behaviour and preferences over consumption rank can emerge as a neutrally stable equilibrium when individuals face an anti-coordination task. If in an otherwise homogeneous society information about…

Fields like public health, public policy, and social science often want to quantify the degree of dependence between variables whose relationships take on unknown functional forms. Typically, in fact, researchers in these fields are…

We introduce a new approach for comparing the predictive accuracy of two nested models that bypasses the difficulties caused by the degeneracy of the asymptotic variance of forecast error loss differentials used in the construction of…

Diversification is the typical investment strategy of risk-averse agents. However, non-diversified positions that allocate all resources to a single asset, state of the world or revenue stream are common too. We show that whenever finitely…

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…

This paper considers general term structure models like the ones appearing in portfolio credit risk modelling or life insurance. We give a general model starting from families of forward rates driven by infinitely many Brownian motions and…

For simultaneous independent events with finitely many outcomes, consider the expected-utility problem with nonnegative wagers and an endogenous cash position. We prove a short support theorem for a broad class of strictly increasing…