Related papers: Utility-Invariant Support Selection and Eventwise …

In this paper, we study the continuity of expected utility functions, and derive a necessary and sufficient condition for a weak order on the space of simple probabilities to have a continuous expected utility function. We also verify that…

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…

We consider a stochastic optimal control problem in a market model with temporary and permanent price impact, which is related to an expected utility maximization problem under finite fuel constraint. We establish the initial condition…

We study a general robust utility maximization problem in a discrete-time frictionless market. The investor is assumed to have a possibly infinite, random, nonconcave, and nondecreasing utility function defined on the whole real line. She…

We study the optimal investment problem for a continuous time incomplete market model such that the risk-free rate, the appreciation rates and the volatility of the stocks are all random; they are assumed to be independent from the driving…

This paper develops and implements a nonparametric test of Random Utility Models. The motivating application is to test the null hypothesis that a sample of cross-sectional demand distributions was generated by a population of rational…

One of the central objectives of modern risk management is to find a set of risks where the probability of multiple simultaneous catastrophic events is negligible. That is, risks are taken only when their joint behavior seems sufficiently…

We study a discrete-time consumption-based capital asset pricing model under expectations-based reference-dependent preferences. More precisely, we consider an endowment economy populated by a representative agent who derives utility from…

In this paper, we study a time-inconsistent consumption-investment problem with random endowments in a possibly incomplete market under general discount functions. We provide a necessary condition and a verification theorem for an open-loop…

We investigate approximately optimal mechanisms in settings where bidders' utility functions are non-linear; specifically, convex, with respect to payments (such settings arise, for instance, in procurement auctions for energy). We provide…

Random utility theory models an agent's preferences on alternatives by drawing a real-valued score on each alternative (typically independently) from a parameterized distribution, and then ranking the alternatives according to scores. A…

We demonstrate that a ubiquitous feature of network games, bilateral strategic interactions, is equivalent to having player utilities that are additively separable across opponents. We distinguish two formal notions of bilateral strategic…

We consider the following two-player game: using observational data, the leader chooses a prediction function for a response variable $Y$ from given covariates. The follower then reacts with an intervention on some covariates in the…

We provide and axiomatize a representation for preferences over lotteries that generalizes the expected utility model. Since the representation uses different utility functions to evaluate different lotteries, the preferences can be…

This paper reviews compact continuous-time formulations for the multi-mode resource-constrained project scheduling problem. Specifically, we first point out a serious flaw in an existing start-end-event-based formulation owing to…

Many applications of representation learning, such as privacy preservation, algorithmic fairness, and domain adaptation, desire explicit control over semantic information being discarded. This goal is formulated as satisfying two…

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…

We conduct a comprehensive analysis of the discrete-time exponential-weights dynamic with a constant step size on all general-sum and symmetric $2 \times 2$ normal-form games, i.e. games with $2$ pure strategies per player, and where the…

This paper considers exponential utility indifference pricing for a multidimensional non-traded assets model, and provides two linear approximations for the utility indifference price. The key tool is a probabilistic representation for the…

We study the fair allocation of indivisible goods with variable groups. In this model, the goal is to partition the agents into groups of given sizes and allocate the goods to the groups in a fair manner. We show that for any number of…