Anomalies: Utility Maximization and Experienced Utility

Anomalies: Utility Maximization and Experienced Utility

Utility Maximization and Duality

In an arbitrage free incomplete market we consider the problem of maximizing terminal isoelastic utility. The relationship between the optimal portfolio, the optimal martingale measure in the dual problem and the optimal value function of the problem is described by an BSDE. For a totally unhedgeable price for instantaneous risk, isoelastic utility of terminal wealth can be maximized using a po...

From Experienced Utility to Decision Utility

Identifying What Does What for Brain Mechanisms of Outcome Utilities 330 Brain Mesolimbic Dopamine: Anticipated/Predicted Utility or Pure Decision Utility? 330 Berridge’s Incentive Salience Theory: Dopamine as Pure Decision Utility 331 Incentive Salience “Wanting” versus Ordinary Wanting 331 Computational Modeling of Incentive Salience as Decision Utility 333 Applications of Incentive Salience ...

Utility Maximization under Uncertainty

Motivated by several search and optimization problems over uncertain datasets, we study the stochastic versions of a broad class of combinatorial problems where either the existences or the weights of the elements in the input dataset are uncertain. The class of problems that we study includes shortest paths, minimum weight spanning trees, and minimum weight matchings over probabilistic graphs;...

Experienced Utility and Objective Happiness