assumptions of Arbitrage Pricing Theory. Moving beyond traditional mean-variance optimization, it allows the incorporation of any …

A new model of intertemporal choice — "discounted incremental utility" (DIU) — is presented. DIU coincides with … Samuelson's discounted utility (constant/exponential discounting) when utility function is linear. DIU has several advantages … over discounted utility (and its generalizations — quasi-hyperbolic and generalized hyperbolic discounting): a) time …

, or temperate) von Neumann-Morgenstern utility functions. The very idea to devise those conditions is based on the reverse … claim of an old observation by Arrow that a risk-averse expected-utility maximizer will always accept a sufficiently small … stake in any positive expected-value bet if her von Neumann-Morgenstern utility function is differentiable …

-parameter generalization of expected utility theory. The proposed theory assumes that a decision maker: 1) behaves as if maximizing expected … rank-dependent utility and cumulative prospect theory); and preference reversals between valuations and choice. Behavioral …This paper presents a new decision theory for modelling choice under risk. The new theory is a two …

space S and outcome space X with topological structures. We axiomatically characterize a Subjective Expected Utility (SEU …) representation of conditional preferences, involving a continuous utility function on X (unique up to positive affine transformations …

-time models and stylized facts reported in the literature. We work within expected utility theory for portfolio selection with … constant relative risk aversion utility. The method extends a recursive polynomial exponential approximation framework by …

In this paper, we examine some characterizing implications of the expected utility model with a particular focus on … monotonicity, can characterize the expected utility model. In this case, weakening the independence axiom can still yield an … expected utility, but in a weaker sense implying that our axiomatization is tight …

Preferences over acts have an α-Maxmin Expected Utility (α-MEU) representation if they can be represented by an α …-mix between the worst and the best expected utility over a set or priors. The case α=1 is characterized in Gilboa and Schmeidler …