Source Themes

Working Paper: Restricted Dynamic Consistency

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.

NEW: Absolute and Relative Ambiguity Attitudes

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

NEW: Event Valence and Subjective Probability

Provide a theory of additive but non-monotone probability, i.e. probabilities with possibily negative values, in order to explain several puzzles in economics.

Working Paper: Optimal consumption and investment under relative performance criteria with Epstein-Zin utility

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

Working Paper: Affine Gateaux Differentials and the von Mises Statistical Calculus

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

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.

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 is "Restricted Dynamic Consistency". Part III will cover the case of corrrelation aversion and ambiguity, to appear sometime next year.

Robust Bayesian Choice

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

Working Paper: A Nonlinear Sandwich Theorem

Develop nonlinear Sandwich Theorem and develop applications to mathematical finance.

Foundations of ambiguity models under symmetry: α-MEU and smooth ambiguity

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