Related papers: Utility-Invariant Support Selection and Eventwise …
We present a necessary and sufficient condition for Alt's system to be represented by a continuous utility function. Moreover, we present a necessary and sufficient condition for this utility function to be concave. The latter condition can…
We study the problem of maximising terminal utility for an agent facing model uncertainty, in a frictionless discrete-time market with one safe asset and finitely many risky assets. We show that an optimal investment strategy exists if the…
This paper investigates a time-inconsistent portfolio selection problem in the incomplete mar ket model, integrating expected utility maximization with risk control. The objective functional balances the expected utility and variance on log…
The present paper introduces a theoretical framework through which the degree of risk aversion with respect to uncertain prices can be measured through the context of the indirect utility function (IUF) using a lab experiment. First, the…
We ask if participants in a choice experiment with repeated presentation of the same menus and no feedback provision: (i) exhibit overall behaviour that is consistent with ordinal and expected utility theory under *weak* preferences; (ii)…
We consider a utility-maximization problem in a general semimartingale financial model, subject to constraints on the number of shares held in each risky asset. These constraints are modeled by predictable convex-set-valued processes whose…
We consider a family of conditional nonlinear expectations defined on the space of bounded random variables and indexed by the class of all the sub-sigma-algebras of a given underlying sigma-algebra. We show that if this family satisfies a…
This paper addresses the problem of stochastic optimization with decision-dependent uncertainty, a class of problems where the probability distribution of the uncertain parameters is influenced by the decision-maker's actions. While recent…
We introduce the notion of common conditional expectation to investigate Birkhoff's ergodic theorem and subadditive ergodic theorem for invariant upper probabilities. If in addition, the upper probability is ergodic, we construct an…
This paper presents four theorems that connect continuity postulates in mathematical economics to solvability axioms in mathematical psychology, and ranks them under alternative supplementary assumptions. Theorem 1 connects notions of…
For events $A$ and $B$, we have \[ \mathbb{P}(A\mid B) > \mathbb{P}(A\mid \neg B) \qquad\Longleftrightarrow\qquad \mathbb{P}(B\mid A) > \mathbb{P}(B\mid \neg A) \] whenever all four quantities are defined. In other words, $B$ is evidence…
We develop a dynamic multi-agent model of an interbank payment system where banks choose their level of available funds on the basis of private payoff maximisation. The model consists of the repetition of a simultaneous move stage game with…
We provide sufficient conditions under which a utility function may be recovered from a finite choice experiment. Identification, as is commonly understood in decision theory, is not enough. We provide a general recoverability result that…
Incentives are key to the success of crowdsourcing which heavily depends on the level of user participation. This paper designs an incentive mechanism to motivate a heterogeneous crowd of users to actively participate in crowdsourcing…
We consider the game-theoretic approach to time-inconsistent stopping of a one-dimensional diffusion where the time-inconsistency is due to the presence of a non-exponential (weighted) discount function. In particular, we study (weak)…
This paper presents SIMPOL (Simplified Policy Iteration), a modular numerical framework for solving continuous-time heterogeneous agent models. The core economic problem, the optimization of consumption and savings under idiosyncratic…
This paper builds a rule for decisionmaking from the physical behavior of single neurons, the well established neural circuitry of mutual inhibition, and the evolutionary principle of natural selection. No axioms are used in the derivation…
We study existence, uniqueness and computability of solutions for a class of discrete time recursive utilities models. By combining two streams of the recent literature on recursive preferences---one that analyzes principal eigenvalues of…
The most commonly accepted model for investors' preferences is expected utility theory. More recently, other theories have emerged and pose new challenges to mathematics. The present paper treats preferences of cumulative prospect theory…
Budget aggregation is a process in which citizens vote by declaring their individual ideal budget allocation, and a pre-determined rule aggregates all votes into a single outcome. Recent theoretical work has proposed various aggregation…