Related papers: Utility of Choice: An Information Theoretic Approa…

Analyses of voting algorithms often overlook informational externalities shaping individual votes. For example, pre-polling information often skews voters towards candidates who may not be their top choice, but who they believe would be a…

We use decision theory to compare variants of differential privacy from the perspective of prospective study participants. We posit the existence of a preference ordering on the set of potential consequences that study participants can…

Reinforcement learning systems are often concerned with balancing exploration of untested actions against exploitation of actions that are known to be good. The benefit of exploration can be estimated using the classical notion of Value of…

Existing attempts at utility computing revolve around two approaches. The first consists of proprietary solutions involving renting time on dedicated utility computing machines. The second requires the use of heavy, monolithic applications…

We study arbitrage opportunities, market viability and utility maximization in market models with an insider. Assuming that an economic agent possesses from the beginning an additional information in the form of a random variable G, which…

Perfectly rational decision-makers maximize expected utility, but crucially ignore the resource costs incurred when determining optimal actions. Here we propose an information-theoretic formalization of bounded rational decision-making…

The state of economic theory and accumulated facts from the different branches of the economic science require to analyze the concept of the description of economy systems. The economic reality generates the problems the solution of that is…

Risk prediction models are often advertised as deterministic functions that map covariates to predicted risks. However, they are typically trained using finite samples, and as such, their predictions are inherently uncertain. This…

We study an optimal investment problem under default risk where related information such as loss or recovery at default is considered as an exogenous random mark added at default time. Two types of agents who have different levels of…

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 investigate how the choice of decision makers can be varied under the presence of risk and uncertainty. Our analysis is based on the approach we have previously applied to individual decision makers, which we now generalize to the case…

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 studies an $\alpha$-robust utility maximization problem where an investor faces an intractable claim -- an exogenous contingent claim with known marginal distribution but unspecified dependence structure with financial market…

This paper is concerned with learning decision makers' preferences using data on observed choices from a finite set of risky alternatives. We propose a discrete choice model with unobserved heterogeneity in consideration sets and in…

Protecting against cyber-threats is vital for every organization and can be done by investing in cybersecurity controls and purchasing cyber insurance. However, these are interlinked since insurance premiums could be reduced by investing…

We present a representation of partial confidence in belief and preference that is consistent with the tenets of decision-theory. The fundamental insight underlying the representation is that if a person is not completely confident in a…

Under mean-variance-utility framework, we propose a new portfolio selection model, which allows wealth and time both have influences on risk aversion in the process of investment. We solved the model under a game theoretic framework and…

In environments with increasing uncertainty, such as smart grid applications based on renewable energy, planning can benefit from incorporating forecasts about the uncertainty and from systematically evaluating the utility of the forecast…

We consider expected utility maximisation problem for exponential Levy models and HARA utilities in presence of illiquid asset in portfolio. This illiquid asset is modelled by an option of European type on another risky asset which is…

We consider the following problem: There is a set of items (e.g., movies) and a group of agents (e.g., passengers on a plane); each agent has some intrinsic utility for each of the items. Our goal is to pick a set of $K$ items that maximize…