Related papers: Risk and Monotone Comparative Statics without Inde…
We obtain a full characterization of consistency with respect to higher-order stochastic dominance within the rank-dependent utility model. Different from the results in the literature, we do not assume any condition on the utility…
We introduce a new preference-based framework for conditional treatment effect estimation and policy learning, built on the Conditional Preference-based Treatment Effect (CPTE). CPTE requires only that outcomes be ranked under a preference…
A monotone function interval is the set of monotone functions that lie pointwise between two fixed monotone functions. We characterize the set of extreme points of monotone function intervals and apply this to a number of economic settings.…
Stochastic processes that are randomly reset to an initial condition serve as a showcase to investigate non-equilibrium steady states. However, all existing results have been restricted to the special case of memoryless resetting protocols.…
We focus on the problem estimating a monotone trend function under additive and dependent noise. New point-wise confidence interval estimators under both short- and long-range dependent errors are introduced and studied. These intervals are…
We review recent progress in modeling credit risk for correlated assets. We start from the Merton model which default events and losses are derived from the asset values at maturity. To estimate the time development of the asset values, the…
We propose some new results on the comparison of the minimum or maximum order statistic from a random number of non-identical random variables. Under the non-identical set-up, with certain conditions, we prove that random minimum (maximum)…
The ability to uncover preferences from choices is fundamental for both positive economics and welfare analysis. Overwhelming evidence shows that choice is stochastic, which has given rise to random utility models as the dominant paradigm…
We prove oracle inequalities for a penalized log-likelihood criterion that hold even if the data are not independent and not stationary, based on a martingale approach. The assumptions are checked for various contexts: density estimation…
Comonotonicity (``same variation'') of random variables minimizes hedging possibilities and has been widely used, e.g., in Gilboa and Schmeidler's ambiguity models. This paper investigates anticomonotonicity (``opposite variation'';…
We study here preference revision, considering both the monotonic case where the original preferences are preserved and the nonmonotonic case where the new preferences may override the original ones. We use a relational framework in which…
Preferences play a key role in determining what goals/constraints to satisfy when not all constraints can be satisfied simultaneously. In this work, we study preference-based planning in a stochastic system modeled as a Markov decision…
We study Pareto efficiency in a pure-exchange economy where agents' preferences are represented by risk-averse monetary utilities. These coincide with law-invariant monetary utilities, and they can be shown to correspond to the class of…
Constraint tightening to non-conservatively guarantee recursive feasibility and stability in Stochastic Model Predictive Control is addressed. Stability and feasibility requirements are considered separately, highlighting the difference…
We introduce a new stochastic duration model for transaction times in asset markets. We argue that widely accepted rules for aggregating seemingly related trades mislead inference pertaining to durations between unrelated trades: while any…
This paper studies relations among axioms on individuals' intertemporal choices under risk. The focus is on Risk Averse over Time Lotteries (RATL), meaning that a fixed prize is preferred to a lottery with the same monetary prize but a…
We address the statistical estimation of composite functionals which may be nonlinear in the probability measure. Our study is motivated by the need to estimate coherent measures of risk, which become increasingly popular in finance,…
We consider an expected utility maximization problem where the utility function is not necessarily concave and the time horizon is uncertain. We establish a necessary and sufficient condition for the optimality for general non-concave…
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…
We present a new estimator for causal effects with panel data that builds on insights behind the widely used difference in differences and synthetic control methods. Relative to these methods we find, both theoretically and empirically,…