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.
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.
Develop nonlinear Sandwich Theorem and develop applications to mathematical finance.
Develop a choice-based theory robustness in a Bayesian setting with applications to climate mitigation and portfolio choice.
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.
Provide the characterization of several convex pricing rules under the assumption of cash additivity.
Study Mean Field Games with Stochastic differential utility to understand how equilibrium behavior changes in response to changes in risk aversion.