Related papers: Risk and Monotone Comparative Statics without Inde…
In this manuscript, we study stochastic comparisons of the second-order statistics from dependent or independent observations with modified proportional hazard rates models. First, we establish the usual stochastic order of the second-order…
We consider a single-period portfolio selection problem for an investor, maximizing the expected ratio of the portfolio utility and the utility of a best asset taken in hindsight. The decision rules are based on the history of stock returns…
We study the evolution of preferences in multi-population settings that allow matches across distinct populations. Each individual has subjective preferences over potential outcomes, and chooses a best response based on his preferences and…
Optimization under uncertainty and risk is indispensable in many practical situations. Our paper addresses stability of optimization problems using composite risk functionals which are subjected to measure perturbations. Our main focus is…
We study a continuous-time portfolio choice problem for an investor whose state-dependent preferences are determined by an exogenous factor that evolves as an It\^o diffusion process. Since risk attitudes at the end of the investment…
For a large family of nonautonomous scalar-delayed differential equations used in population dynamics, some criteria for permanence are given, as well as explicit upper and lower bounds for the asymptotic behavior of solutions. The method…
This paper studies the monotonicity of equilibrium costs and equilibrium loads in nonatomic congestion games, in response to variations of the demands. The main goal is to identify conditions under which a paradoxical non-monotone behavior…
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 propose a robust method of discrete choice analysis when agents' choice sets are unobserved. Our core model assumes nothing about agents' choice sets apart from their minimum size. Importantly, it leaves unrestricted the dependence,…
This paper proposes a new semi-parametric identification and estimation approach to multinomial choice models in a panel data setting with individual fixed effects. Our approach is based on cyclic monotonicity, which is a defining feature…
In this work we generalize standard Decision Theory by assuming that two outcomes can also be incomparable. Two motivating scenarios show how incomparability may be helpful to represent those situations where, due to lack of information,…
There exists a preference relation on infinite utility streams that does not discriminate between different periods, satisfies the Pareto criterion, and so that almost all pairs of utility streams are strictly comparable. Such a preference…
Most of the stochastic orders for comparing random variables, considered in the literature, are afflicted with two main drawbacks: (i) lack of connex property and (ii) lack of consideration of any dependence structure between the random…
We present stability conditions for deterministic time-varying nonlinear discrete-time systems whose inputs aim to minimize an infinite-horizon time-dependent cost. Global asymptotic and exponential stability properties for general…
By embedding uncertainty into time, we obtain a conjoint axiomatic characterization of both Exponential Discounting and Subjective Expected Utility that accommodates arbitrary state and outcome spaces. In doing so, we provide a novel and…
Nonparametric regression problems with qualitative constraints such as monotonicity or convexity are ubiquitous in applications. For example, in predicting the yield of a factory in terms of the number of labor hours, the monotonicity of…
We study dynamic risk measures in a very general framework enabling to model uncertainty and processes with jumps. We previously showed the existence of a canonical equivalence class of probability measures hidden behind a given set of…
Acyclic preferences recently appeared as an elegant way to model many distributed systems. An acyclic instance admits a unique stable configuration, which can reveal the performance of the system. In this paper, we give the statistical…
We study strategic interaction in data-driven games where players face uncertainty about payoff distributions inferred from finite samples. To model calibrated attitudes toward such uncertainty, we formulate distributionally robust games…
Mixed monotone systems form an important class of nonlinear systems that have recently received attention in the abstraction-based control design area. Slightly different definitions exist in the literature, and it remains a challenge to…