Fabio Maccheroni
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View article: Making Decisions Under Model Misspecification
Making Decisions Under Model Misspecification Open
We use decision theory to confront uncertainty that is sufficiently broad to incorporate “models as approximations.” We presume the existence of a featured collection of what we call “structured models” that have explicit substantive motiv…
View article: Affine Gateaux Differentials and the von Mises Statistical Calculus
Affine Gateaux Differentials and the von Mises Statistical Calculus Open
This paper presents a general study of one-dimensional differentiability for functionals defined on convex domains that are not necessarily open. The local approximation is carried out using affine functionals, as opposed to linear functio…
View article: Quantal response equilibrium and rationalizability: Inside the black box
Quantal response equilibrium and rationalizability: Inside the black box Open
This paper aims to connect epistemic and behavioral game theory by examining the epistemic foundations of quantal response equilibrium (QRE) in static games. We focus on how much information agents possess about the probability distributio…
View article: Risk Aversion and Insurance Propensity
Risk Aversion and Insurance Propensity Open
We provide a new foundation of risk aversion by showing that this attitude is fully captured by the propensity to seize insurance opportunities. Our foundation, which applies to all probabilistically sophisticated preferences, well accords…
View article: Measuring utility with diffusion models
Measuring utility with diffusion models Open
The drift diffusion model (DDM) is a prominent account of how people make decisions. Many of these decisions involve comparing two alternatives based on differences of perceived stimulus magnitudes, such as economic values. Here, we propos…
View article: Capacities and Choquet Averages of Ultrafilters
Capacities and Choquet Averages of Ultrafilters Open
We show that a normalized capacity $ν: \mathcal{P}(\mathbf{N})\to \mathbf{R}$ is invariant with respect to an ideal $\mathcal{I}$ on $\mathbf{N}$ if and only if it can be represented as a Choquet average of $\{0,1\}$-valued finitely additi…
View article: Algorithmic Decision Processes
Algorithmic Decision Processes Open
We develop a full-fledged analysis of an algorithmic decision process that, in a multialternative choice problem, produces computable choice probabilities and expected decision times.
View article: Conditional divergence risk measures
Conditional divergence risk measures Open
Our paper contributes to the theory of conditional risk measures and conditional certainty equivalents. We adopt a random modular approach which proved to be effective in the study of modular convex analysis and conditional risk measures. …
View article: On the cardinal utility equivalence of biseparable preferences
On the cardinal utility equivalence of biseparable preferences Open
We establish a simple condition, based on the willingness to bet on events, under which two biseparable preferences have cardinally equivalent utilities
View article: A characterization of the vector lattice of measurable functions
A characterization of the vector lattice of measurable functions Open
Given a probability measure space (X, Σ , μ) , it is well known that the Riesz space L(μ) of equivalence classes of measurable functions f: X→ R is universally complete and the constant function 1 is a weak order unit. Moreover, the linear…
View article: Law of demand and stochastic choice
Law of demand and stochastic choice Open
We consider random choice rules that, by satisfying a weak form of Luce’s choice axiom, embody a form probabilistic rationality. We show that for this important class of stochastic choices, the law of demand for normal goods—arguably the m…
View article: Quantal Response Equilibrium and Rationalizability: Inside the Black Box
Quantal Response Equilibrium and Rationalizability: Inside the Black Box Open
This paper aims to connect epistemic and behavioral game theory by examining the epistemic foundations of quantal response equilibrium (QRE) in static games. We focus on how much information agents possess about the probability distributio…
View article: Rationalization, Quantal Response Equilibrium, and Robust Outcomes in Large Populations
Rationalization, Quantal Response Equilibrium, and Robust Outcomes in Large Populations Open
This paper provides a robust epistemic foundation for predicting and implementing collective actions when only the proportions that take specific actions in the population matter. We apply $\\Delta$-rationalizability to analyze strategic s…
View article: A canon of probabilistic rationality
A canon of probabilistic rationality Open
We prove that a random choice rule satisfies Luce's Choice Axiom if and only if its support is a choice correspondence that satisfies the Weak Axiom of Revealed Preference, thus it consists of alternatives that are optimal according to som…
View article: Star-shaped Risk Measures
Star-shaped Risk Measures Open
In this paper monetary risk measures that are positively superhomogeneous, called star-shaped risk measures, are characterized and their properties studied. The measures in this class, which arise when the controversial subadditivity prope…
View article: Axiomatic tests for the Boltzmann distribution
Axiomatic tests for the Boltzmann distribution Open
The Boltzmann distribution family describes a single parameter (temperature) class of probability distributions over a state space; at any given temperature, the ratio of probabilities of two states depends exponentially on their differenc…
View article: Ergodic Annealing
Ergodic Annealing Open
Simulated Annealing is the crowning glory of Markov Chain Monte Carlo Methods for the solution of NP-hard optimization problems in which the cost function is known. Here, by replacing the Metropolis engine of Simulated Annealing with a rei…
View article: Ergodic Annealing
Ergodic Annealing Open
Simulated Annealing is the crowning glory of Markov Chain Monte Carlo Methods for the solution of NP-hard optimization problems in which the cost function is known. Here, by replacing the Metropolis engine of Simulated Annealing with a rei…
View article: Sources of Uncertainty and Subjective Prices
Sources of Uncertainty and Subjective Prices Open
We develop a general framework to study source-dependent preferences in economic contexts. We behaviorally identify two key features. First, we drop the assumption of uniform uncertainty attitudes and allow for source-dependent attitudes. …
View article: A Multialternative Neural Decision Process
A Multialternative Neural Decision Process Open
We introduce an algorithmic decision process for multialternative choice that combines binary comparisons and Markovian exploration. We show that a functional property, transitivity, makes it testable.
View article: Multialternative Neural Decision Processes
Multialternative Neural Decision Processes Open
We introduce an algorithmic decision process for multialternative choice that combines binary comparisons and Markovian exploration. We show that a preferential property, transitivity, makes it testable.
View article: Multinomial logit processes and preference discovery: inside and outside the black box
Multinomial logit processes and preference discovery: inside and outside the black box Open
We provide two characterizations, one axiomatic and the other neuro-computational, of the dependence of choice probabilities on deadlines, within the widely used softmax representation \[ p_{t}\left( a,A\right) =\dfrac{e^{\frac{u\left( a\r…
View article: Multinomial logit processes and preference discovery: outside and inside the black box
Multinomial logit processes and preference discovery: outside and inside the black box Open
We provide two characterizations, one axiomatic and the other neuro-computational, of the dependence of choice probabilities on deadlines, within the widely used softmax representation, where pt (a; A) is the probability that alternative a…