Risk aversion with nothing to lose

DOI10.1016/J.JET.2024.105902MaRDI QIDQ6604789zbMATH OpenFDO

Authors Stefano Pegoraro

Publication date 13 September 2024

Published in Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.JET.2024.105902

zbMATH Keywords

distressdynamic programmingendogenous risk attitudesrisk aversionrisk shifting

Mathematics Subject Classification ID

Dynamic programming (90C39) Decision theory (91B06)

Recommendations

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Cites work

• Capital immobility and the reach for yield
• Continuous-time stochastic control and optimization with financial applications
• Controlled Markov processes and viscosity solutions
• Incentives, project choice, and dynamic multitasking
• On the smoothness of value functions and the existence of optimal strategies in diffusion models
• Optimal asset management contracts with hidden savings
• Optimal dynamic contracts with moral hazard and costly monitoring
• Optimization of the flow of dividends

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