Publicaties
OPTIMAL PORTFOLIO UNDER STATE-DEPENDENT EXPECTED UTILITY Vrije Universiteit Brussel
We derive the optimal portfolio for an expected utility maximizer whose utility does not only depend on terminal wealth but also on some random benchmark (state-dependent utility). We then apply this result to obtain the optimal portfolio of a loss-averse investor with a random reference point (extending a result of Berkelaar et al. (2004) Optimal portfolio choice under loss aversion, The Review of Economics and Statistics 86 (4), 973-987). ...
From ambiguity aversion to a generalized expected utility. Modeling preferences in a quantum probabilistic framework. Vrije Universiteit Brussel
A quantum-conceptual explanation of violations of expected utility in economics Vrije Universiteit Brussel
Quantum Structures in Human Decision-making: Towards Quantum Expected Utility Vrije Universiteit Brussel
Ellsberg thought experiments and empirical confirmation of Ellsberg preferences pose serious challenges to subjective expected utility theory (SEUT). We have recently elaborated a quantum-theoretic framework for human decisions under uncertainty which satisfactorily copes with the Ellsberg paradox and other puzzles of SEUT. We apply here the quantum-theoretic framework to the Ellsberg two-urn example, showing that the paradox can be explained ...