NEW! Working Paper: Recursive Preferences, Correlation Aversion, and the Temporal Resolution of Uncertainty

This is Part I of my Job Market paper, a characterization of correlation averse preferences in a risk setting (temporal lotteries). Part II will cover the case of ambiguity, to appear sometime this or next year.

NEW! Working Paper: Recursive Preferences and Ambiguity Attitudes

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.

NEW! Working Paper: A Nonlinear Sandwich Theorem

Develop nonlinear Sandwich Theorem and develop applications to mathematical finance.

Working Paper: Robust Bayesian Choice

Develop a choice-based theory robustness in a Bayesian setting with applications to climate mitigation and portfolio choice.

Coming Soon: Convex Prices and Arbitrage—the cash additive case

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

Coming soon: Mean field games with stochastic differential utility: theory and applications

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