We show that standard recursivity assumptions imply constant absolute ambiguity aversion and derive a functional equation characterizing recursive preferences, which we call generalized rectangularity.

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 correlation aversion and ambiguity, to appear sometime in the future.

We study mean-field games with stochastic differential utility to characterize how changes in risk aversion affect equilibrium behavior.

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 approach to quantifying the robustness of Bayesian priors, with applications to portfolio 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.

Coming soon.

We establish conditions for existence, uniqueness, and global attractivity of recursive utility with unbounded consumption and non-expected utility, with applications to macro-finance.

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 provide a game-theoretic explanation of strategic ambiguity—deliberately creating uncertainty in Beijing and Taipei about whether the United States would intervene in a war—using the decision-theoretic notion of ambiguity.

We characterize several convex pricing rules under the assumption of cash additivity.

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

We develop a nonlinear sandwich theorem and applications to mathematical finance.