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562
Time Discounting and Time Preference: A Critical Review
 JOURNAL OF ECONOMIC LITERATURE
, 2002
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Temporal Resolution of Uncertainty and Dynamic Choice Theory
 ECONOMETRICA
, 1978
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Learning to Order Things
 Journal of Artificial Intelligence Research
, 1998
"... There are many applications in which it is desirable to order rather than classify instances. Here we consider the problem of learning how to order, given feedback in the form of preference judgments, i.e., statements to the effect that one instance should be ranked ahead of another. We outline a ..."
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Cited by 409 (12 self)
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There are many applications in which it is desirable to order rather than classify instances. Here we consider the problem of learning how to order, given feedback in the form of preference judgments, i.e., statements to the effect that one instance should be ranked ahead of another. We outline a twostage approach in which one first learns by conventional means a preference function, of the form PREF(u; v), which indicates whether it is advisable to rank u before v. New instances are then ordered so as to maximize agreements with the learned preference function. We show that the problem of finding the ordering that agrees best with a preference function is NPcomplete, even under very restrictive assumptions. Nevertheless, we describe a simple greedy algorithm that is guaranteed to find a good approximation. We then discuss an online learning algorithm, based on the "Hedge" algorithm, for finding a good linear combination of ranking "experts." We use the ordering algorith...
EXPECTED UTILITY WITH PURELY SUBJECTIVE NONADDITIVE PROBABILITIES
, 1987
"... Acts are functions from the set of states of the world into the set of consequences. Savage proposed axioms regarding a binary relation on the set of acts which are necessary and sufficient for it to be representable by the functional gu(.)dP for some realvalued (utility) function u on the set of c ..."
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Cited by 217 (2 self)
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Acts are functions from the set of states of the world into the set of consequences. Savage proposed axioms regarding a binary relation on the set of acts which are necessary and sufficient for it to be representable by the functional gu(.)dP for some realvalued (utility) function u on the set of consequences and a (probability) measure P on the set of states of the world. The Ellsberg paradox leads us to reject one of Savage’s main axioms the Sure Thing Principleand develop a more general theory, in which the probability measure need not be additive.
Querying with Intrinsic Preferences
, 2002
"... The handling of user preferences is becoming an increasingly important issue in presentday information systems. Among others, preferences are used for information filtering and extraction to reduce the volume of data presented to the user. They are also used to keep track of user profiles and formu ..."
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Cited by 86 (6 self)
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The handling of user preferences is becoming an increasingly important issue in presentday information systems. Among others, preferences are used for information filtering and extraction to reduce the volume of data presented to the user. They are also used to keep track of user profiles and formulate policies to improve and automate decision making. We propose a logical framework for formulating preferences and its embedding into relational query languages. The framework is simple, and entirely neutral with respect to the properties of preferences. It makes it possible to formulate different kinds of preferences and to use preferences in querying databases. We demonstrate the usefulness of the framework through numerous examples.
Subjective Probabilities on Subjectively Unambiguous Events
 ECONOMETRICA
, 1998
"... Evidence such as the Ellsberg Paradox shows that decisionmakers do not assign probabilities to all events. It is intuitive that they may differ not only in the probabilities assigned to given events but also in the identity of the events to which they assign probabilities. This paper describes a th ..."
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Cited by 71 (0 self)
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Evidence such as the Ellsberg Paradox shows that decisionmakers do not assign probabilities to all events. It is intuitive that they may differ not only in the probabilities assigned to given events but also in the identity of the events to which they assign probabilities. This paper describes a theory of probability that is fully subjective in the sense that both the domain and the values of the probability measure are derived from preference. The key is a formal definition of `subjectively unambiguous event.'
The Market Price of Risk and the Equity Premium: A Legacy of the Great Depression
 Journal of Monetary Economics
, 2008
"... Friedman and Schwartz hypothesized that the Great Depression created exaggerated fears of economic instability. We quantify their idea by using a robustness calculation to shatter a representative consumer’s initial confidence in the parameters of a twostate Markov chain that truly governs consumpt ..."
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Cited by 70 (5 self)
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Friedman and Schwartz hypothesized that the Great Depression created exaggerated fears of economic instability. We quantify their idea by using a robustness calculation to shatter a representative consumer’s initial confidence in the parameters of a twostate Markov chain that truly governs consumption growth. The assumption that the consumption data come from the true Markov chain and the consumer’s use of Bayes ’ law cause that initial pessimism to wear off. But so long as it persists, the representative consumer’s pessimism contributes a volatile multiplicative component to the stochastic discount factor that would be measured by a rational expectation econometrician. We study how this component affects asset prices. We find settings of our parameters that make pessimism wear off slowly enough to allow our model to generate substantial values for the market price of risk and the equity premium. Key words: Robustness, learning, asset pricing. 1
Coping with ignorance: unforeseen contingencies and nonadditive uncertainty
, 2001
"... In reallife decision problems, decision makers are never provided with the necessary background structure: the set of states of the world, the outcome space, the set of actions. They have to devise all these by themselves. I model the (static) choice problem of a decision maker (DM) who is aware ..."
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Cited by 65 (4 self)
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In reallife decision problems, decision makers are never provided with the necessary background structure: the set of states of the world, the outcome space, the set of actions. They have to devise all these by themselves. I model the (static) choice problem of a decision maker (DM) who is aware that her perception of the decision problem is too coarse, as for instance when there might be unforeseen contingencies. I make a “bounded rationality” assumption on the way the DM deals with this difficulty, and then I show that imposing standard subjective expected utility axioms on her preferences only implies that they can be represented by a (generalized) expectation with respect to a nonadditive measure, called a belief function. However, the axioms do have strong implications for how the DM copes with the type of ignorance described above. Finally, I show that some decision rules that have been studied in the literature can be obtained as a special case of the model presented here (though they have to be interpreted differently).