Dynamic Consistent -Maxim Expected Utility

Consistent dynamic choice and non-expected utility preferences

This paper studies the application of the two most popular non-expected utility (NEU) models -Choquet Expected Utility (CEU) and Maximin Expected Utility (CEU)to dynamic choice situations in a purely subjective framework. We give an appropriate version of the reduction of compound acts axiom, that states the equivalence between a static and a dynamic choice situation. We show that if consequent...

Dynamically Consistent α–Maxmin Expected Utility∗

The α–maxmin model is a prominent example of preferences under Knightian uncertainty as it allows to distinguish ambiguity and ambiguity attitude. These preferences are dynamically inconsistent for nontrivial versions of α. In this paper, we derive a recursive, dynamically consistent version of the α–maxmin model. In the continuous–time limit, the resulting dynamic utility function can be repre...

Dynamic Endogenous Risks & Non-Expected Utility Behavior

Dynamic decision making without expected utility: An operational approach

Non-expected utility theories, such as rank dependent utility (RDU) theory, have been proposed as alternative models to EU theory in decision making under risk. These models do not share the separability property of expected utility theory. This implies that, in a decision tree, if the reduction of compound lotteries assumption is made (so that preferences at each decision node reduce to RDU pr...

Monte Carlo Algorithms for Expected Utility Estimation in Dynamic Purchasing

This thesis describes a theory for decision-making in a dynamic purchasing environment where one of possibly many bundles of items must be purchased from possibly many suppliers. The online combinatorial purchasing problem is defined as the problem with which a purchase agent in such an environment is faced when deciding which combination of items, from whom and at what time to buy in order to ...