Related papers: Expected Qualitative Utility Maximization
Many different rules for decision making have been introduced in the literature. We show that a notion of generalized expected utility proposed in Part I of this paper is a universal decision rule, in the sense that it can represent…
In this paper, we first consider a Bayesian framework and model the "utility function" in terms of fuzzy random variables. On the basis of this model, we define the "prior (fuzzy) expected utility" associated with each action, and the…
How should well-being be prioritised in society, and what trade-offs are people willing to make between fairness and personal well-being? We investigate these questions using a stated preference experiment with a nationally representative…
This paper axiomatizes, in a two-stage setup, a new theory for decision under risk and ambiguity. The axiomatized preference relation $\succeq$ on the space $\tilde{V}$ of random variables induces an ambiguity index $c$ on the space…
Different from shopping at retail stores, consumers on e-commerce platforms usually cannot touch or try products before purchasing, which means that they have to make decisions when they are uncertain about the outcome (e.g., satisfaction…
In this paper we extend the stability results of [4]}. Our utility maximization problem is defined as an essential supremum of conditional expectations of the terminal values of wealth processes, conditioned on the filtration at the…
We consider a model for decision making based on an adaptive, k-period, learning process where the priors are selected according to Von Neumann-Morgenstern expected utility principle. A preference relation between two prospects is…
Motivated by several classic decision-theoretic paradoxes, and by analogies with the paradoxes which in physics motivated the development of quantum mechanics, we introduce a projective generalization of expected utility along the lines of…
The maximum entropy principle can be used to assign utility values when only partial information is available about the decision maker's preferences. In order to obtain such utility values it is necessary to establish an analogy between…
We initiate a novel direction in randomized social choice by proposing a new definition of agent utility for randomized outcomes. Each agent has a preference over all outcomes and a {\em quantile} parameter. Given a {\em lottery} over the…
We consider the problem of maximizing expected utility from terminal wealth in models with stochastic factors. Using martingale methods and a conditioning argument, we determine the optimal strategy for power utility under the assumption…
This paper discusses {General Random Utility Models (GRUMs)}. These are a class of parametric models that generate partial ranks over alternatives given attributes of agents and alternatives. We propose two preference elicitation scheme for…
Shafer's theory of belief and the Bayesian theory of probability are two alternative and mutually inconsistent approaches toward modelling uncertainty in artificial intelligence. To help reduce the conflict between these two approaches,…
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…
In the theory of social choice the research is focused around the projection of individual preference orders to the social preference order. Also, the justification of the preference order formalism begins with the concept of utility i.e.…
We obtain a necessary and sufficient condition under which random-coefficient discrete choice models, such as mixed-logit models, are rich enough to approximate any nonparametric random utility models arbitrarily well across choice sets.…
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…
We consider an agent who has access to a financial market, including derivative contracts, who looks to maximise her utility. Whilst the agent looks to maximise utility over one probability measure, or class of probability measures, she…
We present a generalization of the maximal inequalities that upper bound the expectation of the maximum of $n$ jointly distributed random variables. We control the expectation of a randomly selected random variable from $n$ jointly…
The sum-utility maximization problem is known to be important in the energy systems literature. The conventional assumption to address this problem is that the utility is concave. But for some key applications, such an assumption is not…