Source Themes

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

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.

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.

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.

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.

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.

A novel approach to quantifying the robustness of Bayesian priors, with applications to portfolio choice and climate mitigation.