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Data-driven decision making plays an important role even in high stakes settings like medicine and public policy. Learning optimal policies from observed data requires a careful formulation of the utility function whose expected value is…

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…

Counterfactual utilities evaluate decisions not only by the realized outcome under a given decision, but also by the counterfactual outcomes that would arise under alternative decisions. By generalizing standard utility frameworks, they…

The famous Saint Petersburg Paradox (St. Petersburg Paradox) shows that the theory of expected value does not capture the real-world economics of decision-making problems. Over the years, many economic theories were developed to resolve the…

In this paper, we formulate a qualitative "linear" utility theory for lotteries in which uncertainty is expressed qualitatively using a Spohnian disbelief function. We argue that a rational decision maker facing an uncertain decision…

This paper addresses the problem of utility maximization under uncertain parameters. In contrast with the classical approach, where the parameters of the model evolve freely within a given range, we constrain them via a penalty function. We…

The principle that rational agents should maximize expected utility or choiceworthiness is intuitively plausible in many ordinary cases of decision-making under uncertainty. But it is less plausible in cases of extreme, low-probability risk…

A utility function has been proposed that values more those lives that are saved by not imposing a harmful treatment and values less those lives that could be saved by treating people who would otherwise die. I do not dispute the ethical…

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 provide and axiomatize a representation for preferences over lotteries that generalizes the expected utility model. Since the representation uses different utility functions to evaluate different lotteries, the preferences can be…

A reformulation of the Kelly Criterion is presented. Let $\mathfrak{G}$ be a generic stochastic Bernoulli binary game with outcomes $\mathscr{Z}(I)\in\lbrace -1,1\rbrace$ of N trials for $I=1...N$. The binomial probabilities are…

Optimal behavior in (competitive) situation is traditionally determined with the help of utility functions that measure the payoff of different actions. Given an ordering on the space of revenues (payoffs), the classical axiomatic approach…

A resolution of the St. Petersburg paradox is presented. In contrast to the standard resolution, utility is not required. Instead, the time-average performance of the lottery is computed. The final result can be phrased mathematically…

This paper considers a time-varying game with $N$ players. Every time slot, players observe their own random events and then take a control action. The events and control actions affect the individual utilities earned by each player. The…

We propose a stochastic first-order algorithm to learn the rationality parameters of simultaneous and non-cooperative potential games, i.e., the parameters of the agents' optimization problems. Our technique combines (i.) an active-set step…

The St. Petersburg paradox is the oldest paradox in decision theory and has played a pivotal role in the introduction of increasing concave utility functions embodying risk aversion and decreasing marginal utility of gains. All attempts to…

We pursue an inverse approach to utility theory and consumption & investment problems. Instead of specifying an agent's utility function and deriving her actions, we assume we observe her actions (i.e. her consumption and investment…

Using game and probability theories, I study the French popular game 421, a perfect information stochastic stage game. The problem is to find strategies maximizing the probability of some expected utility. I only solve a player's round…

Randomized experiments have become a standard tool in economics. In analyzing randomized experiments, the traditional approach has been based on the Stable Unit Treatment Value (SUTVA: \cite{rubin}) assumption which dictates that there is…

We perform a stability analysis for the utility maximization problem in a general semimartingale model where both liquid and illiquid assets (random endowments) are present. Small misspecifications of preferences (as modeled via expected…