Two-moments decision models and utility-representable preferences

Representing risk preferences in expected utility based decision models

The application and estimation of expected utility based decision models would benefit from having additional simple and flexible functional forms to represent risk preferences. The literature so far has provided these functional forms for the utility function itself. This work shows that functional forms for the marginal utility function are as useful, are easier to provide, and can represent ...

Two-parameter Decision Models and Rank- Dependent Expected Utility

Decomposed Utility Functions and Graphical Models for Reasoning about Preferences

Recently, Brafman and Engel (2009) proposed new concepts of marginal and conditional utility that obey additive analogues of the chain rule and Bayes rule, which they employed to obtain a directed graphical model of utility functions that resembles Bayes nets. In this paper we carry this analogy a step farther by showing that the notion of utility independence, built on conditional utility, sat...

Markov decision processes with exponentially representable discounting

We generalize the geometric discount of finite discounted cost Markov Decision Processes to “exponentially representable” discount functions, prove existence of optimal policies which are stationary from some time N onward, and provide an algorithm for their computation. Outside this class, optimal “N-stationary” policies in general do not exist.

Rough Notes : Preferences and Utility

Voluntary Exchange. If an airline mechanic gets paid $30,000 a year, it must be that the mechanic would rather have the money than the leisure time, while the airline would rather have the mechanic than have the money. Another example: apartment rentals. That is, price is bounded below by what the seller will accept: the supply price, and bounded above by what the buyer is willing to pay: the d...