Temporal von Neumann-Morgenstern and induced preferences
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Cites work
- A New Representation of Preferences over "Certain x Uncertain" Consumption Pairs: The "Ordinal Certainty Equivalent" Hypothesis
- Concavifiability and constructions of concave utility functions
- Dynamic Choice Theory and Dynamic Programming
- Temporal Resolution of Uncertainty and Dynamic Choice Theory
- The role of insurance and gambling in allocating risk over time
- Values of Markets with a Continuum of Traders
Cited in
(26)- Risk aversion and the elasticity of substitution in general dynamic portfolio theory: consistent planning by forward looking, expected utility maximizing investors
- An axiomatic characterization of preferences under uncertainty: Weakening the independence axiom
- A correspondence theorem between expected utility and smooth utility
- Intrinsic preference for information
- Violations of the betweenness axiom and nonlinearity in probability
- Experimentation with heteroskedastic noise
- A challenge to the compound lottery axiom: A two-stage normative structure and comparison to other theories
- Comparative statics and non-expected utility preferences
- Flexibility, endogenous risk, and the protection premium
- Portfolio choice, attention allocation, and price comovement
- Optimal investment and benefit adjustment problem for a target benefit pension plan with Cobb-Douglas utility and Epstein-Zin recursive utility
- Conditional non-expected utility preferences induced by mixture of lotteries: a note on the normative invalidity of expected utility theory
- Parameter-dependent stochastic optimal control in finite discrete time
- An additive model of decision making under risk and ambiguity
- Bayesian decision theory with action-dependent probabilities and risk attitudes
- Conditional preference orders and their numerical representations
- Discounting axioms imply risk neutrality
- Relative concave utility for risk and ambiguity
- Optimal consumption and investment with Epstein-Zin recursive utility
- Equilibrium without independence
- Optimal investment, consumption, and work effort choice with Cobb-Douglas utility and preferences for cash
- Adaptive preferences: an evolutionary model of non-expected utility and ambiguity aversion
- Temporal risk and the nature of induced preferences
- Equivalence between time consistency and nested formula
- The tradeoff between risk sharing and information production in financial markets
- Unique induced preference representations
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