Risk aversion with nothing to lose

DOI10.1016/J.JET.2024.105902zbMATH Open1544.91111MaRDI QIDQ6604789FDOQ6604789

Authors: Stefano Pegoraro 

Publication date: 13 September 2024

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

zbMATH Keywords

dynamic programmingrisk aversionrisk shiftingdistressendogenous risk attitudes

Mathematics Subject Classification ID

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

Cites Work

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

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