113 research outputs found
Calibration results for non-expected utility theories
Pre-print draft version dated July 24, 2006. Final version published by Wiley; available online at http://onlinelibrary.wiley.com/Rabin (2000) proved that a low level of risk aversion with respect to small gambles
leads to a high, and absurd, level of risk aversion with respect to large gambles. Rabinās
arguments strongly depend on expected utility theory, but we show that similar
arguments apply to general non-expected utility theories
Dual Betweenness
A key feature of the rank dependent model for decision making under risk is that the weighting of an outcome depends on its relative rank. This theory received numerous axiomatizations, however, all these sets of axioms need to make an explicit reference to the ranking of the outcomes. This situation is unsatisfactory, as it seems to be desirable to get the ranking property of this model as a consequence of the model, rather than as an assumption. Yaari [9] offered a special version of this model (called dual theory), where the utility function is linear. This paper offers a set of axioms implying a generalization of Yaari's dual theory, without making any reference to the order of the outcomes. The main axiom is called dual betweenness, which, unlike the usual case, is made on random variables rather than distribution functions. We thank SSHRCC and the Israel Institute of Business Research for financial support. y Faculty of Management, Tel Aviv University, Tel Aviv 6997..
On rational solutions of multicomponent and matrix KP hierarchies
We derive some rational solutions for the multicomponent and matrix KP
hierarchies generalising an approach by Wilson. Connections with the
multicomponent version of the KP/CM correspondence are discussed.Comment: 15 pages, no figure
Calibration results for incomplete preferences
In this work we demonstrate that incomplete expected utility preferences are susceptible to criticism similar to that addressed at their complete analogues: even a modest degree of risk aversion in the small is sufficient to imply extreme and unreasonable degree of risk aversion in the large. Our results thus shed doubt on the usefulness of incomplete expected utility preferences for practical and theoretical purposes
Virasoro constraints in Drinfeld-Sokolov hierarchies
We describe a geometric theory of Virasoro constraints in generalized
Drinfeld-Sokolov hierarchies. Solutions of Drinfeld-Sokolov hierarchies are
succinctly described by giving a principal bundle on a complex curve together
with the data of a Higgs field near infinity. String solutions for these
hierarchies are defined as points having a big stabilizer under a certain Lie
algebra action. We characterize principal bundles coming from string solutions
as those possessing connections compatible with the Higgs field near infinity.
We show that tau-functions of string solutions satisfy second-order
differential equations generalizing the Virasoro constraints of 2d quantum
gravity.Comment: 28 page
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