On the separation of preferences among marked point process wager alternatives
Abstract
A wager is a one time bet, staking money on one among a collection of alternatives
having uncertain reward. Wagers represent a common class of engineering
decision, where “bets” are placed on the design, deployment, and/or operation of
technology. Often such wagers are characterized by alternatives having value that
evolves according to some future cash flow. Here, the values of specific alternatives
are derived from a cash flow modeled as a stochastic marked point process. A principal
difficulty with these engineering wagers is that the probability laws governing
the dynamics of random cash flow typically are not (completely) available; hence,
separating the gambler’s preference among wager alternatives is quite difficult.
In this dissertation, we investigate a computational approach for separating preferences
among alternatives of a wager where the alternatives have values that evolve
according to a marked point processes. We are particularly concerned with separating
a gambler’s preferences when the probability laws on the available alternatives are
not completely specified.
Subject
WagerDesign Decision
Risk Preference
Marked Point Process
Expected Utility
Optimization
MCMC
Citation
Park, Jee Hyuk (2008). On the separation of preferences among marked point process wager alternatives. Doctoral dissertation, Texas A&M University. Available electronically from https : / /hdl .handle .net /1969 .1 /ETD -TAMU -2757.