We study fundamental links between two popular approaches to consumer choice: the multinomial logit model of individual discrete choice and the CES utility function, which describes a multiple choice of a representative consumer. We base our analysis on the rational inattention (RI) model and...

In this paper we provide conditions under which a preference relation can be represented by concave utility functions. The condition follows naturally from a proof of a theorem about representability of continuous and weakly monotonic preference relations by continuous and weakly increasing...

We combine Almgren--Chriss optimal execution with market microstructure in a framework where passive (joining the queue in a limit order book) or aggressive (willing to cross the bid-offer spread) modes of execution are allowed. To achieve this, we represent the Almgren--Chriss strategy within...

Market segmentation characterized by price heterogeneity appears as a failure of classical view of market equilibrium. We suppose that an existence of specific asset pricing determines the wealth level of lenders. In microfinance, we look at the linkages between the welfare of lenders and market...

This paper considers mean-variance optimization under uncertainty, specifically when one desires a sparsified set of optimal portfolio weights. From the standpoint of a Bayesian investor, our approach produces a small portfolio from many potential assets while acknowledging uncertainty in asset...

The paper provides a representation theorem for the class of all stationary preferences in a stochastic environment. A notion of ambiguity aversion applicable to such preferences is also proposed. The analysis helps discriminate between dynamic models of ambiguity aversion and expected utility...

We introduce a novel and convenient approach to utility modeling. In doing so, we present a general utility function in a very simple exact form. Furthermore, we develop a method to (accurately) measure preferences without any utility data. We also devise a method to measure the marginal...

In a fully general semimartingale setting, this article establishes existence, uniqueness, monotonicity, concavity, and a utility gradient inequality for continuous-time recursive utility in the Epstein-Zin parametrization with relative risk aversion $\gamma$ and elasticity of intertemporal...

This paper presents results of a study that has shed new light on the shape of indifference curves in the Marschak-Machina triangle. The most important observation concerns jumps in indifference curves at the triangle legs towards the triangle origin. Such jumps, however, do not appear at the...

This paper studies the possibility of secure implementation (Saijo, T., T. Sjöström, and T. Yamato (2007) "Secure Implementation," Theoretical Economics 2, pp. 203-229) in divisible and non-excludable public good economies with quasi-linear utility functions. Although Saijo, Sjöström, and...