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.