This is Part I of my Job Market paper, a characterization of correlation averse preferences in a risk setting (temporal lotteries). Part II is “Restricted Dynamic Consistency”. Part III will cover the case of corrrelation aversion and ambiguity, to appear sometime in the future.

Study Mean Field Games with Stochastic differential utility to understand how equilibrium behavior changes in response to changes in risk aversion.

Applications in economics and statistics need derivatives defined on convex but potentially non-open sets. We develop a general theory with applications.

I show that dynamic consistency can be restricted to a much smaller domain of consumption programs, in such a way that it is compatible with indifference to the timing of resolution of uncertainty. The more practical relevance of this result is that this novel notion of dynamic consistency can accommodate recent empirical evidence on dynamic preferences.

A novel apporach way to quantify robustness of Bayesian priors with applications to portoflio choice and climate mitigation.

A novel axiomatization of the smooth ambiguity model and the α-maximin expected utility criterion in a common setting under symmetry.

An axiomatization of the smooth ambiguity model in a social choice setting.

An axiomatization and generalization of Savage’s theorem using functional analysis with applications to decision theory.

Introduces signed subjective expected utility (SSEU), where willingness-to-bet reflects both subjective likelihood and event valence, and applies it to hedging aversion, the conjunction fallacy, insurance and gambling, dominated choices, and home equity bias.

We show that standard assumptions of recursivity of preferences imply constant absolute ambiguity aversion and derive a functional equation characterizing recursivity which we refer to as generalized rectangularity.

Provide a game theoretic explanation of Strategic Ambiguity, that is deliberately creating uncertainty in Beijing and Taipei about whether the United States would intervene in a war, by means of the decision-theoretic notion of Ambiguity.

Provide the characterization of several convex pricing rules under the assumption of cash additivity.

We provide representations theorems for preferences under basic assumptions on ambiguity attitudes without Schmeidler’s notion of ambiguity, i.e. convexity of preferences.

Develop nonlinear Sandwich Theorem and develop applications to mathematical finance.