Following [10] we continue the study of the problem of expected utility maximization in incomplete markets. Our goal is to find minimal conditions on a model and a utility function for the validity of several key assertions of the theory to hold true. In [10] we proved that a minimal condition on the utility function alone, i.e. a minimal market independent condition, is that the asymptotic ela...

Gill advocated using goal-based utility functions versus the standard commodity-based neoclassical utility function. He argued that a goal-based utility function would resolve many observed inconsistencies between what economics predicts and the behavior observed in psychological experiments. To support Gill’s argument, this paper focuses on the standard extension of neoclassical utility to gam...

We study a class of utility functions that are defined recursively by an aggregator W (x, y) where ut =W ( ct , ut+1 ) . In single-agent economies it is known that a sufficient condition for the existence of a balanced growth path is that utility should be homogenous of degree . In the context of a multiagent economy we show that this restriction implies that either a balanced growth equilibriu...

Bargaining problems are considered where the preferences of the bargainers deviate from expected utility but can be modelled according to rank dependent utility theory. Under rank dependent utility both the utility function and the probability weighting function influence the risk attitude of a decision maker. The same definition of risk aversion leads to two forms of risk aversion: utility ris...

Cumulative Prospect Theory has gained a great deal of support as an alternative to Expected Utility Theory as it accounts for a number of anomalies in the observed behavior of economic agents. Expected Utility Theory uses a utility function and subjective or objective probabilities to compare risky prospects. Cumulative Prospect Theory alters both of these aspects. The concave utility function ...

Elicitation of an exact utility function of a decision maker is challenging. In this paper, we address the problem of ambiguity and inconsistency in utility assessments by studying a robust utility-based decision making model where the utility function belongs to a set of general increasing utility functions. We build a robust framework in which the utility function belongs to a set. This set o...

Abstract: When a communication network’s capacity increases, it is natural to want the bandwidth allocated to increase to exploit this capacity. But, if the same relative capacity increase occurs at each network resource, it is also natural to want each user to see the same relative benefit, so the bandwidth allocated to each route should remain proportional. We will be interested in bandwidth ...

Estimating bidders’ risk aversion in auctions is challeging because of identification issues. This paper takes advantage of bidding data from two auction designs to nonparametrically identify bidders’ utility function within a private value framework. In particular, ascending auction data allow us to recover the latent distribution of private values, while first-price sealed-bid auction data al...

An interesting approach for designing scheduling algorithms in OFDMA systems consists on incorporating a utility function that maps a certain resource or performance criterion into a value that measures the degree of user satisfaction. The current paper proposes a utility function that maps the user data rate into the quality of experience (QoE) perceived by the end user. The utility function i...

The curvature of utility functions varies between people. We suggest that there exists a relationship between the mode in which a person usually makes a decision and the curvature of the individual utility function. In a deliberate decision mode, a decisionmaker tends to have a nearly linear utility function. In an intuitive decision mode, the utility function is more curved. In our experiment ...