Related papers: Utility of Choice: An Information Theoretic Approa…
This paper proposes a systematic framework to design a classification model that yields a classifier which optimizes a utility function based on prior knowledge. Specifically, as the data size grows, we prove that the produced classifier…
This paper introduces conceptual relations that synthesize utilitarian and logical concepts, extending the logics of preference of Rescher. We define first, in the context of a possible worlds model, constraint-dependent measures that…
This paper challenges the use of stocks in portfolio construction, instead we demonstrate that Asian derivatives, straddles, or baskets could be more convenient substitutes. Our results are obtained under the assumptions of the…
We review the utility-based valuation method for pricing derivative securities in incomplete markets. In particular, we review the practical approach to the utility-based pricing by the means of computing the first order expansion of…
In an incomplete market underpinned by the trinomial model, we consider two investors : an ordinary agent whose decisions are driven by public information and an insider who possesses from the beginning a surplus of information encoded…
Assuming that agents' preferences satisfy first-order stochastic dominance, we show how the Expected Utility paradigm can rationalize all optimal investment choices: the optimal investment strategy in any behavioral law-invariant…
User preferences for automated assistance often vary widely, depending on the situation, and quality or presentation of help. Developing effectivemodels to learn individual preferences online requires domain models that associate…
Classic decision-theory is based on the maximum expected utility (MEU) principle, but crucially ignores the resource costs incurred when determining optimal decisions. Here we propose an axiomatic framework for bounded decision-making that…
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…
Expected Utility: Algebraic Expected Utility In this paper, we provide two axiomatizations of algebraic expected utility, which is a particular generalized expected utility, in a von Neumann-Morgenstern setting, i.e. uncertainty…
A family of models of individual discrete choice are constructed by means of statistical averaging of choices made by a subject in a reinforcement learning process, where the subject has short, k-term memory span. The choice probabilities…
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…
This memoir presents a systematic study of the utility maximization problem of an investor in a constrained and unbounded financial market. Building upon the work of Hu et al. (2005) [Ann. Appl. Probab., 15, 1691--1712] in a bounded…
Reliability (survival analysis, to biostatisticians) is a key ingredient for mak- ing decisions that mitigate the risk of failure. The other key ingredient is utility. A decision theoretic framework harnesses the two, but to invoke this…
This paper considers utility indifference valuation of derivatives under model uncertainty and trading constraints, where the utility is formulated as an additive stochastic differential utility of both intertemporal consumption and…
The influence of additional information on the decision making of agents, who are interacting members of a society, is analyzed within the mathematical framework based on the use of quantum probabilities. The introduction of social…
In the large financial market, which is described by a model with countably many traded assets, we formulate the problem of the expected utility maximization. Assuming that the preferences of an economic agent are modeled with a stochastic…
We consider a general statistical estimation problem involving a finite-dimensional target parameter vector. Beyond an internal data set drawn from the population distribution, external information, such as additional individual data or…
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…
We introduce a new interpretation of two related notions - conditional utility and utility independence. Unlike the traditional interpretation, the new interpretation renders the notions the direct analogues of their probabilistic…