Temporal Resolution of Uncertainty and Dynamic Choice Theory
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(only showing first 100 items - show all)- On the test of the globalization of the Japanese equity market under the Kreps-Porteus preference
- A theory of subjective compound lotteries
- Recursive smooth ambiguity preferences
- Subjective random discounting and intertemporal choice
- Risk aversion and the elasticity of substitution in general dynamic portfolio theory: consistent planning by forward looking, expected utility maximizing investors
- Multivariate risk premiums
- Consumption, asset returns and taxes in a nonexpected utility model
- Temporal von Neumann-Morgenstern and induced preferences
- Time preferences, conditional risk preference, and two-period cardinal utility
- Attitudes toward the timing of resolution of uncertainty and the existence of recursive utility
- Intrinsic preference for information
- Conditional decision processes with recursive function
- Violations of the betweenness axiom and nonlinearity in probability
- Is Krebs-Porteus utility distinguishable from intertemporal expected utility?
- A challenge to the compound lottery axiom: A two-stage normative structure and comparison to other theories
- Growth trends, cyclical fluctuations, and welfare with non-expected utility preferences
- Intrinsic bubbles and asset price volatility
- Consumption adjustment to real interest rates: Intertemporal substitution revisited
- Empirical assessment of an intertemporal option pricing model with latent variables.
- Observable restrictions of general equilibrium models with financial markets.
- Recursive multiple-priors.
- Is intertemporal choice theory testable?
- Efficient intertemporal allocations with recursive utility.
- An existence theorem of intertemporal recursive utility in the presence of Lévy jumps
- Ambiguous life expectancy and the demand for annuities
- Stochastic volatility implies fourth-degree risk dominance: applications to asset pricing
- Equilibrium asset pricing with Epstein-Zin and loss-averse investors
- Continuous-time smooth ambiguity preferences
- The inverse problem of asset price under non-expected utility
- Optimal consumption, portfolio, and life insurance policies under interest rate and inflation risks
- Optimal dividend payout model with risk sensitive preferences
- Convex dynamic programming with (bounded) recursive utility
- On investor preferences and mutual fund separation
- Backward nonlinear expectation equations
- The K-armed bandit problem with multiple priors
- A behavioral definition of unforeseen contingencies
- Planning for the long run: programming with patient, Pareto responsive preferences
- Generalized stochastic differential utility and preference for information
- The stock market premium, production, and relative risk aversion. A generalization
- PDE solutions of stochastic differential utility
- Finite sample properties of test of Epstein-Zin asset pricing model
- Conditional preferences and updating.
- Recursive utility and optimal growth under uncertainty
- Towards a more precise decision framework. A separation of the negative utility of chance from diminishing marginal utility and the preference for safety
- Dynamic consistency for stochastic optimal control problems
- Foundations of continuous-time recursive utility: differentiability and normalization of certainty equivalents
- Ambiguity in asset pricing and portfolio choice: a review of the literature
- Intertemporal utility smoothing under uncertainty
- Consumption-portfolio optimization with recursive utility in incomplete markets
- Instability of financial markets and preference heterogeneity
- Unique solutions for stochastic recursive utilities
- Portfolio choice, attention allocation, and price comovement
- An intertemporal consumption-leisure model with non-expected utility
- Optimal consumption and portfolio selection with stochastic differential utility
- Price volatility and risk with non-separability of preferences
- Long-run risk and hidden growth persistence
- Time-consistent investment policies in Markovian markets: a case of mean-variance analysis
- Would you prefer your retirement income to depend on your life expectancy?
- Evaluating ambiguous random variables from Choquet to maxmin expected utility
- Randomly evolving tastes and delayed commitment
- Stochastic dynamic utilities and intertemporal preferences
- Contextual deliberation and the choice-valuation preference reversal
- A new preference model that allows for narrow framing
- Robust consumption portfolio optimization with stochastic differential utility
- Estimating robustness
- Asset pricing under smooth ambiguity in continuous time
- Uncertainty and compound lotteries: calibration
- All probabilities are equal, but some probabilities are more equal than others
- Optimal investment, consumption and life insurance strategies under stochastic differential utility with habit formation
- Disentangling intertemporal substitution and risk aversion under the expected utility theorem
- Measuring preferences over the temporal resolution of consumption uncertainty
- Bayesian social aggregation with accumulating evidence
- Mean-field backward stochastic differential equations and applications
- Reference points and learning
- Optimal investment and benefit adjustment problem for a target benefit pension plan with Cobb-Douglas utility and Epstein-Zin recursive utility
- A model of state aggregation
- Conditional non-expected utility preferences induced by mixture of lotteries: a note on the normative invalidity of expected utility theory
- Characterization of fully coupled FBSDE in terms of portfolio optimization
- Parameter-dependent stochastic optimal control in finite discrete time
- Nonrecursive separation of risk and time preferences
- On recursive utilities with non-affine aggregator and conditional certainty equivalent
- Preferences for the resolution of uncertainty and the timing of information
- Markov decision processes with recursive risk measures
- How do changes in risk and risk aversion affect self-protection with Selden/Kreps-Porteus preferences?
- Incomplete market demand tests for Kreps-Porteus-Selden preferences
- The ethics of intergenerational risk
- A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective
- Expected discounted utility
- Revisiting precautionary saving under ambiguity
- Delayed probabilistic risk attitude: a parametric approach
- The long and the short of the risk-return trade-off
- A term structure model with preferences for the timing of resolution of uncertainty
- Bayesian decision theory with action-dependent probabilities and risk attitudes
- Skewed noise
- On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation
- A powerful tool for analyzing concave/convex utility and weighting functions
- Recursive utility and parameter uncertainty
- Markov perfect equilibria in OLG models with risk sensitive agents
- The aggregation of preferences: Can we ignore the past?
- Context dependence and consistency in dynamic choice under uncertainty: the case of anticipated regret
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