Temporal Resolution of Uncertainty and Dynamic Choice Theory
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(only showing first 100 items - show all)- Conditional preferences and updating.
- Ambiguity in asset pricing and portfolio choice: a review of the literature
- Dynamic Portfolio Allocation, the Dual Theory of Choice and Probability Distortion Functions
- An existence theorem of intertemporal recursive utility in the presence of Lévy jumps
- Games with second-order expected utility
- Equivalence between time consistency and nested formula
- Markov perfect equilibria for risk-sensitive Markov decision processes with quasi-hyperbolic discounting
- Towards a more precise decision framework. A separation of the negative utility of chance from diminishing marginal utility and the preference for safety
- Consumption and portfolio optimization with generalized stochastic differential utility in incomplete markets
- A new axiomatization of discounted expected utility
- Stochastic differential utility as the continuous-time limit of recursive utility
- Why uncertainty matters: discounting under intertemporal risk aversion and ambiguity
- Dynamic programming for non-additive stochastic objectives
- Consumption and portfolio optimization solvable problems with recursive preferences
- Multivariate risk premiums
- The impact of ambiguity and prudence on prevention decisions
- On the timing premium puzzle
- Doubts or variability?
- Inter-temporal preference for flexibility and risky choice
- Optimal investment and benefit adjustment problem for a target benefit pension plan with Cobb-Douglas utility and Epstein-Zin recursive utility
- Delayed probabilistic risk attitude: a parametric approach
- Long-run risk and hidden growth persistence
- Evaluating ambiguous random variables from Choquet to maxmin expected utility
- Would you prefer your retirement income to depend on your life expectancy?
- Preference for knowledge
- Temporal risk and the nature of induced preferences
- Forward utility and market adjustments in relative investment-consumption games of many players
- Observable restrictions of general equilibrium models with financial markets.
- Monetary policy and long‐term interest rates
- Is intertemporal choice theory testable?
- Consumption-portfolio optimization with recursive utility in incomplete markets
- Comparative risk aversion: a formal approach with applications to saving behavior
- Costly subjective learning
- Information flows and memory in games
- Conditional preference orders and their numerical representations
- Term structure of interest rates under recursive preferences in continuous time
- On the intergenerational sharing of cohort-specific shocks on permanent income
- A behavioral definition of unforeseen contingencies
- Randomly evolving tastes and delayed commitment
- Pricing of the time-change risks
- Price uncertainty, saving, and welfare
- On the sources of the aggregate risk premium: risk aversion, bubbles or regime-switching?
- Optimal consumption for recursive preferences with local substitution -- the case of certainty
- Recursive robust estimation and control without commitment
- LIFE INSURANCE AND PENSION CONTRACTS I: THE TIME ADDITIVE LIFE CYCLE MODEL
- Expectation values and variance based on \(\mathcal L^p\)-norms
- A simplified axiomatic approach to ambiguity aversion
- Symmetry or dynamic consistency?
- Nest-monotonic two-stage acts and exponential probability capacities
- Analyzing risky choices: Q-learning for deal-no-deal
- Continuous time one-dimensional asset-pricing models with analytic price-dividend functions
- The tradeoff between risk sharing and information production in financial markets
- Stochastic dynamic utilities and intertemporal preferences
- Credit risk pricing in a consumption‐based equilibrium framework with incomplete accounting information
- Epstein‐Zin utility maximization on a random horizon
- Modeling nonmonotone preferences: the case of utility smoothing
- Myopic loss aversion, reference point, and money illusion
- Subjective information choice processes
- Stochastic volatility implies fourth-degree risk dominance: applications to asset pricing
- Equilibrium asset pricing with Epstein-Zin and loss-averse investors
- Context dependence and consistency in dynamic choice under uncertainty: the case of anticipated regret
- A theory of subjective compound lotteries
- Recursive smooth ambiguity preferences
- Optimal dividend payout model with risk sensitive preferences
- Relative concave utility for risk and ambiguity
- Mean-field backward stochastic differential equations and applications
- Life insurance and pension contracts. II: The life cycle model with recursive utility
- The value of a statistical life under ambiguity aversion
- Subjective random discounting and intertemporal choice
- Optimal investment, consumption and life insurance strategies under stochastic differential utility with habit formation
- The ethics of intergenerational risk
- Attitudes toward the timing of resolution of uncertainty and the existence of recursive utility
- On recursive utilities with non-affine aggregator and conditional certainty equivalent
- Preferences for the resolution of uncertainty and the timing of information
- The ostrich effect: Selective attention to information
- ``Third down with a yard to go: Recursive expected utility and the Dixit--Skeath conundrum
- Emotional decision-makers and anomalous attitudes towards information
- Decision making under time pressure
- Quasi-hyperbolic discounting under recursive utility and consumption-investment decisions
- Asset pricing under smooth ambiguity in continuous time
- Risk minimization in financial markets modeled by Itô-Lévy processes
- Recursive multiple-priors.
- Conditional decision processes with recursive function
- On the test of the globalization of the Japanese equity market under the Kreps-Porteus preference
- Dynamic economics with quantile preferences
- A new methodology for studying the equity premium
- Conditional implicit mean and the law of iterated integrals
- Nonexpected utility preferences in a temporal framework with an application to consumption-savings behaviour
- Skewed noise
- Reference points and learning
- Robustness meets co-jumps: optimal consumption and portfolio choice with derivatives
- Large compound lotteries
- Planning for the long run: programming with patient, Pareto responsive preferences
- Temporal von Neumann-Morgenstern and induced preferences
- A measure of the sensitivity of saving to interest rate uncertainty with non-expected preferences
- Lattice-based monotone comparative statics on saving with Selden/Kreps-Porteus preferences
- Optimal consumption and savings with stochastic income and recursive utility
- Bayesian social aggregation with accumulating evidence
- Optimal investment policy in the time consistent mean-variance formulation
- Stochastic endogenous time preference
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