Related papers: Utility of Choice: An Information Theoretic Approa…
We provide a general theoretical analysis of expected out-of-sample utility, also referred to as decision-theoretic classification, for non-decomposable binary classification metrics such as F-measure and Jaccard coefficient. Our key result…
In this paper we investigate a utility maximization problem with drift uncertainty in a multivariate continuous-time Black-Scholes type financial market which may be incomplete. We impose a constraint on the admissible strategies that…
This paper provides a model to analyze and identify a decision maker's (DM's) hypothetical reasoning. Using this model, I show that a DM's propensity to engage in hypothetical thinking is captured exactly by her ability to recognize…
In this article we consider the optimal investment-consumption problem for an agent with preferences governed by Epstein-Zin stochastic differential utility who invests in a constant-parameter Black-Scholes-Merton market. The paper has…
The "standard" Merton formulation of optimal investment and consumption involves optimizing the integrated lifetime utility of consumption, suitably discounted, together with the discounted future bequest. In this formulation the utility of…
The objective of this paper is to introduce the theory of option pricing for markets with informed traders within the framework of dynamic asset pricing theory. We introduce new models for option pricing for informed traders in complete…
This paper presents a comprehensive formalization of the von Neumann-Morgenstern (vNM) expected utility theorem using the Lean 4 interactive theorem prover. We implement the classical axioms of preference-completeness, transitivity,…
I present a novel mathematical technique for dealing with the infinities arising from divergent sums and integrals. It assigns them fine-grained infinite values from the set of hyperreal numbers in a manner that refines the standard…
Scoring rules for eliciting expert predictions of random variables are usually developed assuming that experts derive utility only from the quality of their predictions (e.g., score awarded by the rule, or payoff in a prediction market). We…
Real-world engineering systems are typically compared and contrasted using multiple metrics. For practical machine learning systems, performance tuning is often more nuanced than minimizing a single expected loss objective, and it may be…
We consider the problem of learning from revealed preferences in an online setting. In our framework, each period a consumer buys an optimal bundle of goods from a merchant according to her (linear) utility function and current prices,…
Recommender systems play a critical role in enhancing user experience by providing personalized suggestions based on user preferences. Traditional approaches often rely on explicit numerical ratings or assume access to fully ranked lists of…
Black-box optimization refers to the optimization problem whose objective function and/or constraint sets are either unknown, inaccessible, or non-existent. In many applications, especially with the involvement of humans, the only way to…
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…
Choice modeling has been a central topic in the study of individual preference or utility across many fields including economics, marketing, operations research, and psychology. While the vast majority of the literature on choice models has…
This paper investigates the problem of maximizing expected terminal utility in a discrete-time financial market model with a finite horizon under non-dominated model uncertainty. We use a dynamic programming framework together with…
One purpose -- quite a few thinkers would say the main purpose -- of seeking knowledge about the world is to enhance our ability to make good decisions. An item of knowledge that can make no conceivable difference with regard to anything we…
We study a robust utility maximization problem in a general discrete-time frictionless market under quasi-sure no-arbitrage. The investor is assumed to have a random and concave utility function defined on the whole real-line. She also…
This paper studies the problem of maximizing the expected utility of terminal wealth for a financial agent with an unbounded random endowment, and with a utility function which supports both positive and negative wealth. We prove the…
We propose martingale consumption as a natural, desirable consumption pattern for any given (proportional) investment strategy. The idea is to always adjust current consumption so as to achieve level expected future consumption under the…